A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps

被引：8
|
作者：
Lyu, Jianping [1 ]
Ma, Yong [1 ]
Sun, Wei [2 ,3 ]
机构：
[1] Hunan Univ, Coll Finance & Stat, Changsha 410006, Peoples R China
[2] Shandong Univ, Sch Math & Stat, Weihai, Peoples R China
[3] Shandong Univ, Sch Mech Elect & Informat Engn, Weihai, Peoples R China
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2022年 / 51卷 / 15期
基金：
中国国家自然科学基金;
关键词：
Option pricing; Markov regime switching; stochastic interest rate; double stochastic volatility; jumps; HESTON MODEL; IMPLIED VOLATILITY;
D O I：
10.1080/03610926.2020.1833221
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：
We consider a general option pricing framework incorporating the double Heston stochastic volatility, stochastic interest rate, jumps and Markov regime switching. Under the proposed framework, we derive the analytical pricing formulae for European options using Fourier transform technique. Numerical examples illustrate that the option prices and the implied volatility curves under different regimes vary clearly, and the effects of regime-switching and jumps on the option price differ.
引用
收藏
页码：5112 / 5123
页数：12
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