Option pricing under a Markov-modulated Merton jump-diffusion dividend

被引：2
|
作者：
Shan, Yuanchuang [1 ]
Yi, Haoran [1 ]
Zhang, Xuekang [2 ]
Shu, Huisheng [3 ]
机构：
[1] Donghua Univ, Coll Informat Sci & Technol, Shanghai, Peoples R China
[2] Anhui Polytech Univ, Sch Math Phys & Finance, Wuhu, Peoples R China
[3] Donghua Univ, Coll Sci, Shanghai, Peoples R China
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2023年 / 52卷 / 05期
基金：
中国国家自然科学基金;
关键词：
Option pricing; discrete dividend; Markov-modulated; Esscher transform; risk-neutral measure;
D O I：
10.1080/03610926.2021.1928205
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, the valuation of European option is investigated when the discrete dividends are described by Markov-modulated Merton jump-diffusion process. According to the dividend discount theory, we regard the stock price as the net present value of all future dividends. The regime switching Esscher transform is applied to determine a risk-neutral measure. The closed form solution of European option is obtained under the condition that the dividend payments are announced in advance. Numerical simulations for the European call option prices are provided.
引用
收藏
页码：1490 / 1506
页数：17
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