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| 引用本文： | �̹�Ʒ,���. ����ת��ģ���¾���Ȩ����Ȩ�Ķ����о�[J]. 应用概率统计, 2017, 34(3): 285-296. DOI: 10.3969/j.issn.1001-4268.2017.03.006 |
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| 作者姓名： | �̹�Ʒ ��� |
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| 作者单位： | ??????????????? |
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| 摘 要： |
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| 关 键 词： | ?????????? ??????? Esscher?任 ?????????任 |
Valuation of CatEPuts with Regime Switching |
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| CHENG GongPin,FAN Kun. Valuation of CatEPuts with Regime Switching[J]. Chinese Journal of Applied Probability and Statisties, 2017, 34(3): 285-296. DOI: 10.3969/j.issn.1001-4268.2017.03.006 |
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| Authors: | CHENG GongPin FAN Kun |
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| Affiliation: | School of Statistics, East China Normal University |
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| Abstract: | This paper investigates the pricing of CatEPuts undera Markovian regime-switching jump-diffusion model. The parameters of this model,including the risk-free interest rate, the appreciation rate and the volatilityof the clients' equity, are modulated by a continuous-time, finite-state, observableMarkov chain. An equivalent martingale measure is selected by employing theregime-switching Esscher transform. The fast Fourier transform (FFT) techniqueis applied to price the CatEPuts. In a two-state Markov chain case, numericalexample is presented to illustrate the practical implementation of the model. |
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| Keywords: | CatEPuts regime-switching Esscher transform fast Fourier transform |
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