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https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/77207
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| 題名: | Option Pricing with Markov Switching |
| 作者: | Fuh, Cheng-der;Ho, Kwok Wah Remus;Hu, Inchi;Wang, Ren-her |
| 貢獻者: | 淡江大學財務金融學系 |
| 關鍵詞: | Arbitrage;hidden Markov model;implied volatility;Laplace transform;Markovian tree |
| 日期: | 2012-07 |
| 上傳時間: | 2012-06-07 12:59:15 (UTC+8) |
| 摘要: | In this article, we consider a model of time-varying volatility which generalizes the classical Black-Scholes model to include regime-switching properties. Specifically, the unobservable state variables for stock fluctu-ations are modeled by a Markov process, and the drift and volatility pa-rameters take different values depending on the state of this hidden Markov process. We provide a closed-form formula for the arbitrage-free price of the European call option, when the hidden Markov process has finite number of states. Two simulation methods, the discrete diffusion method and the Markovian tree method, for computing the European call option price are presented for comparison. |
| 關聯: | Journal of Data Science 10(3), pp.483-509 |
| 顯示於類別: | [財務金融學系暨研究所] 期刊論文
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