马尔可夫调制的双分数布朗运动环境下重置期权的定价

Reset Option Pricing in Double Fractional Brownian Model with Markovian Switching

研究了马尔可夫调制的双分数布朗运动模型下重置期权的定价问题,假设期望收益率、无风险利率和波动率均跟随时间变化,并由连续时间的马尔可夫链来描述,利用保险精算定价方法,得到了马尔可夫调制的双分数布朗运动环境下重置期权的看涨、看跌定价公式,使得重置期权在实际金融市场中的应用更为广泛.

This paper studies the pricing problem of reset option in Markov modulated double fractional Brownian motion model,assuming the expected rate of return,risk-free interest rate and volatility follow time and described by continuous time Markov chains.By using the actuarial pricing method,we obtain the call and put pricing formulas of reset option in Markov modulated double fractional Brownian motion environment.