经济
计量经济学
期权估价
随机波动
数理经济学
屏障选项
波动性(金融)
金钱
作者
Xin-Jiang He,Song-Ping Zhu
出处
期刊:Journal of Derivatives
[Pageant Media US]
日期:2019-11-29
卷期号:27 (2): 108-119
标识
DOI:10.3905/jod.2019.1.088
摘要
In this article barrier options are analytically evaluated under the regime-switching model, with the volatility of the underlying price being allowed to jump between different states following a Markov chain. The target barrier option prices are expressed in a Fourier cosine series after a particular approximation formula is obtained. The accuracy and efficiency of the newly derived formula are demonstrated through numerical experiments, demonstrating the formula’s potential for practical applications. TOPICS:Analysis of individual factors/risk premia, factor-based models, options Key Findings • Barrier options are analytically evaluated under the regime-switching model. • This approximation formula is written in the form of a converged Fourier cosine series. • The formula is shown to be very accurate and efficient, and has a great potential to be applied in practice.
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