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马尔可夫调制的跳扩散过程下幂式期权的定价

Pricing Power Options under a Markov-modulated Jump Diffusion Process
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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. 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.
作者 赵奇杰 王伟
机构地区 宁波大学理学院
出处 《宁波大学学报(理工版)》 CAS 2013年第4期77-81,共5页 Journal of Ningbo University:Natural Science and Engineering Edition
基金 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)
关键词 马尔可夫 期权定价 蒙特卡洛模拟 Markov option pricing Monte Carlo simulation
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参考文献7

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