Ӧ�ø���ͳ�� 2014, 30(6) 585-597 DOI:      ISSN: 1001-4268 CN: 31-1256

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Pricing Forward Starting Call Options under a Markov-Modulated Jump Diffusion Process
Wang Wei, Su Xiaonan, Zhao Qijie
Department of Mathematics, Ningbo University; School of Science, Nanjing Audit University

The pricing problem of forward starting call options under a
Markov-modulated jump diffusion process is studied. Under the assumption that the dynamics
of risky asset follows a Markov-modulated jump diffusion process, the explicit analytical
formula of forward starting call options is obtained by the change of measure and no arbitrage
pricing theory. Moreover, the numerical results of option value are provided by the Monte
Carlo method, and the value of forward starting call options is compared when the risky asset
satisfies different financial models.

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