Valuation of correlation options under a stochastic interest rate model with regime switching
首发时间:2014-11-25
Abstract:In this paper, we consider the valuation of a correlation option, a two-factor analog of a European call option,under a Hull-White interest rate model with regime switching. More specifically, the model parameters are modulated by an observable, continuous-time, finite-state Markov chain. We obtain an integral pricing formula for the correlation option by adopting the techniques of measure changes and inverse Fourier transform. Numerical analysis, via the fast Fourier transform, is provided to illustrate the practical implementation of our model.
keywords: Correlation option Stochastic interest rate Regime-switching Forward measures Fast Fourier transform.
点击查看论文中文信息
体制转换随机利率模型下相关期权的定价
摘要:该论文研究了具有体制转换性质的Hull-White随机利率模型下相关期权的定价问题。相关期权可以被看作是欧式期权的双因子类比。文中假设模型参数被可观测的、有限状态的马尔可夫链所调制,即随着模型参数的取值随着马尔可夫链状态的改变而变化。通过采用测度变换技术和逆傅立叶变换方法,我们可以得到相关期权的解析定价公式。数值分析中,借助快速傅立叶变换,通过举例说明了定价过程。
基金:
论文图表:
引用
No.****
同行评议
共计0人参与
勘误表
体制转换随机利率模型下相关期权的定价
评论
全部评论0/1000