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 ...

Bunches of individual customers approach a single servicing facility according to a stationary compound Poisson process. The resulting waiting line process is studied in continuous time by the method ...

We present a methodology for estimating up-jump and down-jump intensities in a continuous-time portfolio credit rating migration model. These intensities are interpreted as systematic factors and can ...