2 papers
q-fin.GN2008
Optimal dividend distribution under Markov-regime switching
Zhengjun Jiang, Martijn Pistorius
We investigate the problem of optimal dividend distribution for a company in the presence of regime shifts. We consider a company whose cumulative net revenues evolve as a Brownian…
q-fin.PR2008
On perpetual American put valuation and first-passage in a regime-switching model with jumps
Z. Jiang, M. R. Pistorius
In this paper we consider the problem of pricing a perpetual American put option in an exponential regime-switching Lévy model. For the case of the (dense) class of phase-type jump…