Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility

被引：8
|
作者：
Su, Xiaonan [1 ]
Wang, Wensheng [2 ]
Hwang, Kyo-Shin [3 ]
机构：
[1] Nanjing Audit Univ, Sch Math & Stat, Nanjing 211815, Jiangsu, Peoples R China
[2] Hangzhou Normal Univ, Dept Math, Hangzhou 310036, Zhejiang, Peoples R China
[3] Gyeongsang Natl Univ, Res Inst Nat Sci, Jinju 660701, South Korea
来源：
STATISTICS & PROBABILITY LETTERS | 2012年 / 82卷 / 10期
关键词：
Regime switching; Jump-diffusion processes; Stochastic volatility; Local risk minimization; Option pricing; INFORMATION;
D O I：
10.1016/j.spl.2012.05.026
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, we deal with the pricing of European style options when the dynamics of the risky underlying asset are driven by a Markov-modulated jump diffusion with stochastic volatility. We investigate the Radon-Nikodym derivative for the minimal martingale measure and a partial differential equation approach for pricing European options. An optimal hedging strategy in terms of local risk minimization is obtained. (C) 2012 Elsevier B.V. All rights reserved.
引用
收藏
页码：1777 / 1785
页数：9
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