马尔可夫调制的跳扩散过程下幂式期权的定价
PDF下载 (414)赵奇杰,王 伟.马尔可夫调制的跳扩散过程下幂式期权的定价[J].宁波大学学报(理工版),2013,26(04):77-81.DOI:
ZHAO Qi-jie,WANG Wei.Pricing Power Options under a Markov-modulated Jump Diffusion Process[J].Journal of Ningbo University(Natural Science & Engineering Edition),2013,26(04):77-81.DOI:
| Title: | Pricing Power Options under a Markov-modulated Jump Diffusion Process |
| 作者: | 赵奇杰, 王 伟 |
| Author(s): | ZHAO Qi-jie, WANG Wei |
| 关键词: | 马尔可夫; 期权定价; 蒙特卡洛模拟 |
| Keywords: | Markov; option pricing; Monte Carlo simulation |
| 分类号: | O157.5 |
| 文献标识码: | A |
| 摘要: | 假定市场经济状态由两状态连续时间马尔可夫链描述, 风险资产满足马尔可夫调制的跳扩散过程, 研究了马尔可夫调制模型下幂式期权的定价问题. 通过测度变换和Girsanov定理, 得出幂式看涨期权定价公式, 并利用看涨、看跌的平价关系得到了幂式看跌期权的定价公式. 此外, 还利用蒙特卡洛方法给出了幂式看涨期权价值的数值结果. |
| Abstract: | The conditions of market economy are described by a two-state continuous time Markov chain with a Markov-modulated jump diffusion process satisfied by the risky asset. The pricing problem of power option is considered under a Markov-modulated model. The value formula of power call option is obtained by measuring the change and Girsanov’s theorem, and the value formula of power put option by put-call-parity. The numeric results are also provided using the Monte Carlo simulation technique. |
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| 备注/Memo: | 收稿日期: 2012-11-06. 基金项目: 浙江省自然科学基金（LQ12A01006）; 浙江省教育厅科研项目（Y201120129）; 宁波大学学科项目（XKL11047, XKL11046）. 第一作者: 赵奇杰（1989-）, 男, 河南三门峡人, 在读硕士研究生, 主要研究方向: 金融数学. E-mail: zqj0398@163.com *通信作者: 王 伟（1982-）, 男, 安徽安庆人, 博士/讲师, 主要研究方向: 金融数学. E-mail: wangwei2@nbu.edu.cn 宁波大学学报（理工版）网址：http://journallg.nbu.edu.cn/ |
