Valuing power options under a regime-switching model
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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.
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关键词:
- regime switching /
- 幂式期权 /
- regime switching Esscher 变换 /
- 期权定价 /
- 数值分析
Abstract: 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. -
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