کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1143314 | 957191 | 2011 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
An analytic valuation method for multivariate contingent claims with regime-switching volatilities
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات گسسته و ترکیبات
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چکیده انگلیسی
In this paper, we provide an analytic valuation method for European-type contingent claims written on multiple assets in a stochastic market environment. We employ a two-state Markov regime-switching volatility in order to reflect stochastically changing market conditions. The method is developed by exploiting the probability density of the occupation time for which the underlying asset processes are in a certain regime during a time period. In order to show its usefulness, we derive analytic valuation formulas for quanto options and exchange options with two underlying assets, as examples.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Operations Research Letters - Volume 39, Issue 3, May 2011, Pages 180–187
Journal: Operations Research Letters - Volume 39, Issue 3, May 2011, Pages 180–187
نویسندگان
Ji Hee Yoon, Bong-Gyu Jang, Kum-Hwan Roh,