Power Options Pricing under Markov Regime-Switching Two-Factor Stochastic Volatility Jump-Diffusion Model  

具有Markov转换的双因素随机波动率跳扩散模型下幂期权定价

作　　者：HAN Shu-shu WEI Yu-ming 韩书书;韦煜明

机构地区：[1]College of Mathematics and Statistics,Guangxi Normal University,Guilin 541006,China

出　　处：《Chinese Quarterly Journal of Mathematics》2025年第1期59-73,共15页数学季刊(英文版)

基　　金：Guangxi Natural Science Foundation(Grant No.2023GXNSFAA026246).

摘　　要：In this paper,we incorporate Markov regime-switching into a two-factor stochastic volatility jump-diffusion model to enhance the pricing of power options.Furthermore,we assume that the interest rates and the jump intensities of the assets are stochastic.Under the proposed framework,first,we derive the analytical pricing formula for power options by using Fourier transform technique,Esscher transform and characteristic function.Then we provide the efficient approximation to calculate the analytical pricing formula of power options by using the FFT approach and examine the accuracy of the approximation by Monte Carlo simulation.Finally,we provide some sensitivity analysis of the model parameters to power options.Numerical examples show this model is suitable for empirical work in practice.

关 键 词：Power options Markov regime-switching Stochastic volatility Stochastic interest rate Stochastic intensity 

分 类 号：O211.6[理学—概率论与数理统计]