摘要翻译：
本文研究了在指数型体制转换L{e}vy模型中的永久美式看跌期权的定价问题。对于相型跳跃的（稠密）类和有限多个状态，我们导出了值函数的显式表达式。状态相关能级下第一次通过问题的解依赖于这类过程的路径变换和一个新的矩阵Wiener-Hopf分解结果。
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英文标题：
《On perpetual American put valuation and first-passage in a
  regime-switching model with jumps》
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作者：
Z. Jiang and M.R. Pistorius
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  In this paper we consider the problem of pricing a perpetual American put option in an exponential regime-switching L\'{e}vy model. For the case of the (dense) class of phase-type jumps and finitely many regimes we derive an explicit expression for the value function. The solution of the corresponding first passage problem under a state-dependent level rests on a path transformation and a new matrix Wiener-Hopf factorization result for this class of processes.
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PDF链接：
https://arxiv.org/pdf/0803.2302