A generalized Esscher transform is introduced for option valuation in a Markov regime-
switching model. It is intended that the generalized Esscher transform might provide novel …

We aim to obtain by viscosity solution method the closed-form solution of a model
concerning natural resource extraction in which a firm draws a schedule of when to stop the …

We employ the viscosity solution technique to analyze optimal stopping problems with
regime switching. To be specific, we show the viscosity property of value functions with the …

This paper develops a model for the bid and ask prices of a European-type asset by
formulating a stochastic control problem. The state process is governed by a modified …