论文标题
选项定价在离散时间马尔可夫切换随机波动率与共同模型
Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model
论文作者
论文摘要
我们考虑使用共同跳跃模型的离散时间Markov开关随机波动率的选项定价，该模型可以模拟波动率群集和变化的均值逆转速度。对于定价欧洲选项，我们开发了一种计算有效的方法来获得平均综合方差（AIV）的概率分布，这对于在随机挥发性型模型下进行期权定价的关键是。在欧洲期权定价方法的效率的基础上，我们可以通过将其定价转换为欧洲期权投资组合的定价来定价美国式选择。我们的工作还提供了基于方差（例如差异互换）分析衍生物的建设性指导。数值结果表明我们的方法可以非常有效，准确地实现。
We consider option pricing using a discrete-time Markov switching stochastic volatility with co-jump model, which can model volatility clustering and varying mean-reversion speeds of volatility. For pricing European options, we develop a computationally efficient method for obtaining the probability distribution of average integrated variance (AIV), which is key to option pricing under stochastic-volatility-type models. Building upon the efficiency of the European option pricing approach, we are able to price an American-style option, by converting its pricing into the pricing of a portfolio of European options. Our work also provides constructive guidance for analyzing derivatives based on variance, e.g., the variance swap. Numerical results indicate our methods can be implemented very efficiently and accurately.
