کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
468455 | 698231 | 2012 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A new exact solution for pricing European options in a two-state regime-switching economy
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
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چکیده انگلیسی
In this study, we derive a new exact solution for pricing European options in a two-state regime-switching economy. Two coupled Black–Scholes partial differential equations (PDEs) under the regime switching are solved using the Fourier Transform method. A key feature of the newly-derived solution is its simplicity in the form of a single integral with a real integrand, which leads to great computational efficiency in comparison with other closed-form solutions previously presented in the literature. Numerical examples are provided to demonstrate some interesting results obtained from our pricing formula.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computers & Mathematics with Applications - Volume 64, Issue 8, October 2012, Pages 2744–2755
Journal: Computers & Mathematics with Applications - Volume 64, Issue 8, October 2012, Pages 2744–2755
نویسندگان
Song-Ping Zhu, Alexander Badran, Xiaoping Lu,