基于两因素马尔可夫调制随机波动率模型的期权定价研究(英文)  

Pricing Options under Two-Factor Markov-Modulated Stochastic Volatility Models

作　　者：范堃[1] 

机构地区：[1]华东师范大学金融与统计学院,上海200241

出　　处：《应用概率统计》2014年第6期620-630,共11页Chinese Journal of Applied Probability and Statistics

基　　金：The project was supported by National Natural Science Foundation of China(11231005);Doctoral Program Foundation of the Ministry of Education of China(20110076110004)

摘　　要：本文考虑了扩展两因素马尔可夫调制随机波动率模型下欧式期权的定价问题.该模型中,第一个随机波动率因素服从均值回归的平方根过程,而第二个随机波动率因素是被连续时间有限状态马尔可夫链所调制的.在风险中性测度下,通过逆傅里叶变换得到欧式期权的定价公式.数值分析举例说明如何通过快速傅里叶变换离散定价公式以及我们模型的实际操作.In this paper, we investigate the valuation of European-style call options under an extend- ed two-factor Markov-modulated stochastic volatility model, where the first stochastic volatility component is driven by a mean-reversion square-root process and the second stochastic volatili- ty component is modulated by a continuous-time, finite-state Markov chain. The inverse Fourier transform is adopted to obtain analytical pricing formulae. Numerical examples are given to illus- trate the discretization of the pricing formulae and the implementation of our model.

关 键 词：两因素随机波动率 体制转换 均值回归 快速傅里叶变换 

分 类 号：O211.4[理学—概率论与数理统计]