کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5097965 1478662 2017 35 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal investment of variance-swaps in jump-diffusion market with regime-switching
ترجمه فارسی عنوان
سرمایه گذاری بهینه واریانس-مبادلات در بازار پرش فروش با تغییر رژیم
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات کنترل و بهینه سازی
چکیده انگلیسی
We consider a general jump-diffusion market with regime-switching where the jump risk is modeled as a Markov-modulated Poisson random measure. In this incomplete market, we price the variance-swaps using a combination of the Esscher transform and change of measure on time-inhomogeneous Markov chains. We study the dynamic optimal investment problem of the variance-swaps and characterize the optimal feedback strategy. Moreover, a closed-form solution to the HJB PDE associated with the stochastic control problem is established and the verification theorem is proved. The numerical analysis based on a two-state Markov chain uncovers some robust features of the optimal investment strategy.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 83, October 2017, Pages 175-197
نویسندگان
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