摘要
研究了标的资产价格过程服从马尔科夫调节的几何布朗运动时的欧式幂型看涨期权的定价问题.特别是,市场利率,标的风险资产的预期收益率与波动率随着马尔科夫链的状态转移而变化.由于市场不完备,通过采用regime switching Esscher变换得到一个等价鞅测度并给出期权的定价公式.最后,考虑了所得结果的数值分析.
The pricing of European style power call options was considered when the dynamics of the underlying risky asset are driven by the Markov-modulated Geometric Brownian Motion.In particular,the market interest rate,the appreciation rate and the volatility of the underlying risky asset switched over time according to the sates of the continuous time Markov chain process.Since the market is incomplete,the regime switching Esscher transform was employed to determine an equivalent martingale measure and derive the valuation of the options.Then,the numerical analysis of our result was given.
出处
《华东师范大学学报（自然科学版）》
CAS
CSCD
北大核心
2013年第6期32-39,共8页
Journal of East China Normal University(Natural Science)
基金
国家自然科学基金(11071076)
教育部人文社会科学基金(12YJC910009)
浙江省自然科学基金(LQ12A01006)
南京审计学院人才引进项目资助
