Art
J-GLOBAL ID：202002286851637293   Reference number：20A0775440

A direct solution method for pricing options in regime-switching models

レジームスイッチングモデルにおけるオプション選択のための直接解法【JST・京大機械翻訳】
Author (2)：
Egami Masahiko

About Egami Masahiko

(Graduate School of Economics, Kyoto University, Sakyo-Ku, Kyoto, Japan)

About Graduate School of Economics, Kyoto University, Sakyo-Ku, Kyoto, Japan

, 
Kevkhishvili Rusudan

About Kevkhishvili Rusudan

(Graduate School of Economics, Kyoto University, Sakyo-Ku, Kyoto, Japan)

About Graduate School of Economics, Kyoto University, Sakyo-Ku, Kyoto, Japan


Material：
Mathematical Finance  (Math Financ)

About Mathematical Finance


Volume： 30  Issue： 2  Page： 547-576  Publication year： 2020 
JST Material Number： W1683A  ISSN： 0960-1627  Document type： Article
Article type： 原著論文  Country of issue： United States (USA)  Language： ENGLISH (EN)
Abstract/Point：
Abstract/Point
Japanese summary of the article(about several hundred characters).
All summary is available on JDreamIII(charged).
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Pricing financial or real opti...
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Thesaurus term：
Thesaurus term/Semi thesaurus term
Keywords indexed to the article.
All keywords is available on JDreamIII(charged).
On J-GLOBAL, this item will be available after more than half a year after the record posted. In addtion, medical articles require to login to MyJ-GLOBAL.
decision problem

About decision problem

, 
switching

About switching

, 
*pricing

About pricing

, 
general equation

About general equation

, 
option price

About option price

, 
optimal stopping problem

About optimal stopping problem

, 
*regime switching

About regime switching

, 
*decision

About decision


Semi thesaurus term：
Thesaurus term/Semi thesaurus term
Keywords indexed to the article.
All keywords is available on JDreamIII(charged).
On J-GLOBAL, this item will be available after more than half a year after the record posted. In addtion, medical articles require to login to MyJ-GLOBAL.
*レジームスイッチング

About レジームスイッチング

, 【Automatic Indexing@JST】
Author keywords (5)：
concavity

About concavity

, 
diffusion

About diffusion

, 
Markov switching

About Markov switching

, 
optimal stopping

About optimal stopping

, 
perpetual options

About perpetual options

JST classification (1)：
JST classification
Category name(code) classified by JST.
Profit management 
(KA05030A)

About Profit management

Terms in the title (2)：
Terms in the title
Keywords automatically extracted from the title.
オプション

About オプション

, 
解法

About 解法


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