13 citations · 14 across the 5 of their papers we have counts for
6 papers
Integral equation characterization of the Feynman-Kac formula for a regime-switching diffusion
Adriana Ocejo
In this paper, we provide an integral equation characterization of the solution to a Cauchy problem associated to the Feynman-Kac formula for a regime-switching diffusion. We give…
Assessing Guaranteed Minimum Income Benefits and Rationality of Exercising Reset Options in Variable
Riley Jones, Adriana Ocejo
A variable annuity is an equity-linked financial product typically offered by insurance companies. The policyholder makes an upfront payment to the insurance company and, in return…
Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms
Adriana Ocejo
We study the problem of utility maximization from terminal wealth in which an agent optimally builds her portfolio by investing in a bond and a risky asset. The asset price dynamic…
Asian option as a fixed-point
Adriana Ocejo
We characterize the price of an Asian option, a financial contract, as a fixed-point of a non-linear operator. In recent years, there has been interest in incorporating changes of…
On the regularity of American options with regime-switching uncertainty
S. D. Jacka, A. Ocejo
We study the regularity of the stochastic representation of the solution of a class of initial-boundary value problems related to a regime-switching diffusion. This representation…
Monotonicity of the value function for a two-dimensional optimal stopping problem
Sigurd Assing, Saul Jacka, Adriana Ocejo
We consider a pair of stochastic processes satisfying the equation driven by a Brownian motion and study the monotonicity and continuity in of the value…