体制转换模型下巨灾权益卖权的定价研究  

Valuation of CatEPuts with Regime Switching

作　　者：程恭品[1] 范堃[1] 

机构地区：[1]华东师范大学统计学院,上海200241

出　　处：《应用概率统计》2017年第3期285-296,共12页Chinese Journal of Applied Probability and Statistics

基　　金：国家自然科学基金项目(批准号:11501211);上海市浦江人才计划项目(批准号:15PJC026);上海市哲学社科规划青年课题(批准号:2015EJB002);中国博士后科学基金第58批面上资助项目(批准号:2015M581564);上海市晨光计划项目(批准号:15CG22)资助

摘　　要：本文探讨体制转换跳扩散模型下巨灾权益卖权的定价问题.模型参数,包括无风险利率、保险公司股价的平均回报率和波动率均随着经济状态的变化而改变.文中假设经济环境采用一个连续时间、有限状态、可观测的马尔可夫链来刻画,从而可以将经济条件的变化考虑到产品定价中.通过体制转换Esscher变换选取一个等价鞅测度,然后通过快速傅立叶变换对巨灾权益卖权进行定价.This paper investigates the pricing of CatEPuts under a Markovian regime-switching jump-diffusion model. The parameters of this model, including the risk-free interest rate, the appreciation rate and the volatility of the clients5 equity, are modulated by a continuous-time, finite-state, observable Markov chain. An equivalent martingale measure is selected by employing the regime-switching Esscher transform. The fast Fourier transform （FFT） technique is applied to price the CatEPuts. In a two-state Markov chain case, numerical example is presented to illustrate the practical implementation of the model.

关 键 词：巨灾权益卖权 体制转换 ESSCHER变换 快速傅立叶变换 

分 类 号：O211.6[理学—概率论与数理统计]