体制转换模型下巨灾权益卖权的定价研究

Valuation of CatEPuts with Regime Switching

本文探讨体制转换跳扩散模型下巨灾权益卖权的定价问题.模型参数,包括无风险利率、保险公司股价的平均回报率和波动率均随着经济状态的变化而改变.文中假设经济环境采用一个连续时间、有限状态、可观测的马尔可夫链来刻画,从而可以将经济条件的变化考虑到产品定价中.通过体制转换Esscher变换选取一个等价鞅测度,然后通过快速傅立叶变换对巨灾权益卖权进行定价.

This paper investigates the pricing of CatEPuts under a Markovian regime-switching jump-diffusion model. The parameters of this model, including the risk-free interest rate, the appreciation rate and the volatility of the clients5 equity, are modulated by a continuous-time, finite-state, observable Markov chain. An equivalent martingale measure is selected by employing the regime-switching Esscher transform. The fast Fourier transform （FFT） technique is applied to price the CatEPuts. In a two-state Markov chain case, numerical example is presented to illustrate the practical implementation of the model.