Option Pricing and Hedging under a Markov Switching Lévy Process Model  

马尔可夫交换Lévy过程模型下的期权定价及其对冲（英文）

作　　者：宋瑞丽 王波 

机构地区：[1]School of Applied Mathematics,Nanjing University of Finance and Economics

出　　处：《Chinese Quarterly Journal of Mathematics》2017年第1期66-78,共13页数学季刊（英文版）

基　　金：Supported by the National Natural Science Foundation of China(11201221);Supported by the Natural Science Foundation of Jiangsu Province(BK2012468)

摘　　要：In this paper, we consider a Markov switching Lévy process model in which the underlying risky assets are driven by the stochastic exponential of Markov switching Lévy process and then apply the model to option pricing and hedging. In this model, the market interest rate, the volatility of the underlying risky assets and the N-state compensator,depend on unobservable states of the economy which are modeled by a continuous-time Hidden Markov process. We use the MEMM(minimal entropy martingale measure) as the equivalent martingale measure. The option price using this model is obtained by the Fourier transform method. We obtain a closed-form solution for the hedge ratio by applying the local risk minimizing hedging.

关 键 词：Markov chain model MEMM Lévy process option pricing HEDGING 

分 类 号：O211.6[理学—概率论与数理统计]