Valuation of correlation options under a stochastic interest rate model with regime switching  

作　　者：Kun FAN Rongming WANG 

机构地区：[1]School of Statistics, East China Normal University, Shanghai 200241, China

出　　处：《Frontiers of Mathematics in China》2017年第5期1113-1130,共18页中国高等学校学术文摘·数学（英文）

基　　金：This work was supported by the National Natural Science Foundation of China （Grant Nos. 11501211, 11571113, 11231005）, the Program of Shanghai Subject Chief Scientist （14XD1401600）, the 111 Project （B14019）, the Shanghai Pujiang Program （15PJC026）, the Shanghai Philosophy Social Science Planning Office Project （2015EJB002）, the China Postdoctoral Science Foundation （2015M581564）, and the Shanghai Chenguang Plan （15CG22）.

摘　　要：We consider the valuation of a correlation option, a two-factor analog of a European call option, under a Hull-White interest rate model with regime switching. More specifically, the model parameters are modulated by an observable, continuous-time, finite-state Markov chain. We obtain an integral pricing formula for the correlation option by adopting the techniques of measure changes and inverse Fourier transform. Numerical analysis, via the fast Fourier transform, is provided to illustrate the practical implementation of our model.We consider the valuation of a correlation option, a two-factor analog of a European call option, under a Hull-White interest rate model with regime switching. More specifically, the model parameters are modulated by an observable, continuous-time, finite-state Markov chain. We obtain an integral pricing formula for the correlation option by adopting the techniques of measure changes and inverse Fourier transform. Numerical analysis, via the fast Fourier transform, is provided to illustrate the practical implementation of our model.

关 键 词：Correlation option stochastic interest rate regime-switching forward measure fast Fourier transform （FFT） 

分 类 号：O211.6[理学—概率论与数理统计] TD94[理学—数学]