马尔可夫交换指数Levy模型下期权价格的积分-微分方程

Integro-Differential Equations for Option Prices in Markov Switching Exponential Levy Models

  • 摘要: 我们考虑了马尔可夫交换指数Levy模型, 在此模型中不可观的经济在有限状态间转换. 这些经济状态的转换服从于一个隐马氏链模型. 我们得到了马尔可夫交换指数Levy模型下的欧式期权价格与相应的偏积分-微分方程组间的关系.

     

    Abstract: We consider a Markov switching exponential Levy model in which the underlying economy switches between a finite number of states. The switching is modeled by a hidden Markov chain. We explore the link between options prices in Markov switching exponential Levy models and the related partial integro-differential equations in the case of European options.

     

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