This paper is concerned with the solution of the optimal stopping problem associated to the value of American options driven by continuous-time Markov chains. The valuefunction of an American option ...
As proposed by Irle and Gani in 2001, a process X is said to be slower in level crossing than a process Y if it takes X stochastically longer to exceed any given level than it does Y. In this paper, ...
Markov chains and queueing theory together provide a robust framework for analysing systems that evolve randomly over time. Markov chains describe stochastic processes where the future state depends ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results