کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077624 | 1374140 | 2007 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Pricing exotic options under regime switching
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper studies the pricing of options when the volatility of the underlying asset depends upon a hidden Markov process which takes discrete values. It is assumed that the regime switching process is generated by time-independent rate parameters and is independent of the Brownian motion. We derive the coupled Black-Scholes-type partial differential equations that govern the dynamics of several exotic options. These include European, Asian and lookback options. The difference in option prices with and without regime switching is substantial for lookback options and more moderate for European and Asian options.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 40, Issue 2, March 2007, Pages 267-282
Journal: Insurance: Mathematics and Economics - Volume 40, Issue 2, March 2007, Pages 267-282
نویسندگان
Phelim Boyle, Thangaraj Draviam,