马尔可夫调制的跳扩散过程下远期生效看涨期权的定价  

Pricing Forward Starting Call Options under a Markov-Modulated Jump Diffusion Process

作　　者：王伟[1] 苏小囡 赵奇杰[1] 

机构地区：[1]宁波大学数学系,宁波315211 [2]南京审计学院理学院,南京210029

出　　处：《应用概率统计》2014年第6期585-597,共13页Chinese Journal of Applied Probability and Statistics

基　　金：教育部人文社会科学基金项目(12YJC910009);浙江省自然科学基金(LQ12A01006);江苏省教育厅高校自然科学基金项目(14KJB110014);宁波市自然科学基金(2013A610106)资助

摘　　要：本文研究了马尔可夫调制的跳扩散过程下远期生效看涨期权的定价问题.在风险资产价格满足马尔可夫调制的跳扩散过程假定下,通过测度变换及无套利定价原理得到了该模型下远期生效看涨期权的定价公式.此外,利用蒙特卡诺方法给出了期权价值的数值结果,并比较了风险资产价格满足不同金融模型下远期生效看涨期权的价值差别.The pricing problem of forward starting process is studied. Under the assumption that call options under a Markov-modulated jump diffusion the dynamics of risky asset follows a Markov-modulated jump diffusion process, the explicit analytical formula of forward starting call options is obtained by the change of measure and no arbitrage pricing theory. Moreover, the numerical results of option value are provided by the Monte Carlo method, and the value of forward starting call options is compared when the risky asset satisfies different financial models.

关 键 词：跳扩散 马尔可夫调制模型 期权定价 

分 类 号：O211.9[理学—概率论与数理统计]