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Regimeswitching~模型下的幂式期权定价

, PP. 32-39

Keywords: regimeswitching,幂式期权,regimeswitchingEsscher变换,期权定价,数值分析

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Abstract:

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regimeswitchingEsscher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.

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