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| ����ɷ�ָ��Levyģ������Ȩ�۸�Ļ���-�ַ��� | |
| 引用本文： | ������,���. ����ɷ�ָ��Levyģ������Ȩ�۸�Ļ���-�ַ���[J]. 应用概率统计, 2015, 31(5): 483-492 |
| 作者姓名： | ������ ��� |
| 作者单位： | ????????????????? |
| 摘 要： | |
| 关 键 词： | ??????? ????-?????? Levy???? ???????????. |
Integro-Differential Equations for Option Prices in Markov Switching Exponential Levy Models |
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| Song Ruili,Wang Bo. Integro-Differential Equations for Option Prices in Markov Switching Exponential Levy Models[J]. Chinese Journal of Applied Probability and Statisties, 2015, 31(5): 483-492 | |
| Authors: | Song Ruili Wang Bo |
| Affiliation: | School of Applied Mathematics, Nanjing University of Finance and Economics |
| Abstract: | ??We consider a Markov switching exponential Levy model in which the underlying economy switches between a finite number of states. The switching is modeled by a hidden Markov chain. We explore the link between options prices in Markov switching exponential Levy models and the related partial integro-differential equations in the case of European options. |
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