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Journal of Applied Probability
Volumn 38, Issue 2, 2001, Pages 464-481
An explicit solution to an optimal stopping problem with regime switching
Author keywords

Hidden Markov process; Martingale; Optimal stopping; Regime switching; Russian options
Indexed keywords

EID: 0035597611     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/996986756     Document Type: Article
Times cited : (118)
References (14)
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  • 6
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    • Information and option pricing
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  • 12
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    • The Russian option: Reduced regret
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  • 13
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    • A new look at pricing of the 'Russian options'
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    • Van Moerbeke, P.L.J.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.