状态转移模型下的期权定价(英文)  

Option Pricing with Regime Switching Model

作　　者：周青龙[1] 唐潋[2] 

机构地区：[1]南开大学陈省身数学研究所,天津300071 [2]南开大学数学科学学院,天津300071

出　　处：《南开大学学报（自然科学版）》2013年第5期1-8,共8页Acta Scientiarum Naturalium Universitatis Nankaiensis

摘　　要：在基础证券建模为某种随机过程(其漂移项在一些有限状态之间转换)的情形下,研究欧式期权的定价.在类Gisanov测度变换下通过风险中性定价得到了期权价格.然后应用热核方法,给出了欧式期权价格的近似公式.The pricing of the European options is studied with the underlying security being modelled by the stochastic process which drift switches between a finite number of states. With a Girsanov-like change of mea- sure, the option price using risk-neutral valuation is derived. Then by applying the heat kernel theory, an ap- proximate formula for the European option values is provided.

关 键 词：状态转移 期权定价 热核 

分 类 号：O211.9[理学—概率论与数理统计]