英文标题：
《A Direct Solution Method for Pricing Options in Regime-switching Models》
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作者：
Masahiko Egami, Rusudan Kevkhishvili
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最新提交年份：
2018
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英文摘要：
  Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in regime-switching models. In this article, we reduce an optimal stopping problem with an arbitrary value function in a two-regime environment to a pair of optimal stopping problems without regime switching. We then propose a method for finding optimal stopping rules using the techniques available for non-switching problems. In contrast to other methods, our systematic solution procedure is more direct since we first obtain the explicit form of the value functions. In the end, we discuss an option pricing problem which may not be dealt with by the conventional methods, demonstrating the simplicity of our approach.
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中文摘要：
在制度转换模型中，具有任意收益的金融期权或实物期权的定价是金融学中的一个重要问题。从数学上讲，它是在某些标准假设下，解决状态切换模型中最优停止问题的一般形式。在本文中，我们将两个区域环境中具有任意值函数的最优停止问题归结为一对无区域切换的最优停止问题。然后，我们提出了一种使用可用于非切换问题的技术来寻找最优停止规则的方法。与其他方法相比，我们的系统求解过程更直接，因为我们首先获得了值函数的显式形式。最后，我们讨论了一个传统方法无法解决的期权定价问题，证明了我们方法的简单性。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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