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.
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)