马氏过程影响的Le′vy模型下的期权定价

Option Pricing under Le′vy Model with Markov Regime Switching

基于受马氏过程影响的Le′vy模型,通过Esscher测度变换得到一个等价鞅测度,该测度可以使定义的相关熵达到最小,在该测度下给出了欧式期权定价的一般方法;推广了E lliott等人得出的结论。

Based on the Le′vy model with markov regime switching,an equivalent martingal measure is presented by using Esscher transform.This measure is proved to minimize the relative entropy.The common method of European option pricing is obtained under the measure.Some known results are extended.