%0 Journal Article
%T An Explicit Solution for Perpetual American Put Options in a Markov-Modulated Jump Diffusion Model
%A Jinying Tong
%A Zhenzhong Zhang
%J Progress in Applied Mathematics
%D 2012
%I 
%R 10.3968/j.pam.1925252820120402.3025
%X This paper is concerned with  the pricing of perpetual American put options when the dynamics of the risky underlying asset are driven by a jump diffusion with Markovian switching. By using  the ``modified smooth pasting'' technique, we derive an explicit optimal stopping rule and the corresponding value function in a closed form.  Finally, we present a numerical example to illustrate the application of the exact solution.
%U http://cscanada.net/index.php/pam/article/view/2894