کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076370 1477206 2016 66 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A self-exciting threshold jump-diffusion model for option valuation
ترجمه فارسی عنوان
مدل تحرک پذیری آستانه تحسین برانگیز برای ارزیابی انتخاب
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
A self-exciting threshold jump-diffusion model for option valuation is studied. This model can incorporate regime switches without introducing an exogenous stochastic factor process. A generalized version of the Esscher transform is used to select a pricing kernel. The valuation of both the European and American contingent claims is considered. A piecewise linear partial-differential-integral equation governing a price of a standard European contingent claim is derived. For an American contingent claim, a formula decomposing a price of the American claim into the sum of its European counterpart and the early exercise premium is provided. An approximate solution to the early exercise premium based on the quadratic approximation technique is derived for a particular case where the jump component is absent. Numerical results for both European and American options are presented for the case without jumps.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 69, July 2016, Pages 168-193
نویسندگان
,