马尔科夫调制跳扩散模型下欧式期权定价.pdf

ÍâNõa*—.eÓ™œd £á £ á •I˚)¨|u–y3ßk31´˚¨œ¿⁄1´7Kœ¿3¥Å C¸c5ßœ˛¥⁄xm©\Ø2012cßù)x˚¨¥§3 SA[¥§ÿ”/Úœä訴M#:ßYÌ—œ [¥IS1í¨™™L´œ›]ûì3•I=Ú5 ¢ñœ ¥ÿ%¥Èœ?1(ä⁄d ©ƒÎYûm]dÇ.e œd ØKßb¶dÇ— lÍâNõa*—.ßx|« !§£« !ƒ« !aLßr ›˛…|LGKèƒkßA^Gerber and Shiu(1995) •EsscherC ÜœÈkÎÍRadon-NikodymÍŸgßd]d1òƒn߶ —EsscherCÜ•x•5ÎÍß(x•5ˇ›,ß^Buffington and Elliott(2002) •ê{3x•5ˇ›edÓ™wfiœÅß^ÑAk ¤[ê{â—Íä(JøÈÍä(J?1©¤ ÖcµœÍâa*—EsscherCÜÑAk¤[ ä ˆµ‹Ü çPìµLÆ I Abstract Pricing European options under Markov-modulated Pricing European options under Markov-modulated jump-diffusion models Abstract There are 31 types of commodity futures and one type of stock index future are be- ing traded in derivative market of China. The list of option has progressively developed in the last two years.In 2012,several exchanges, including the Zhengzhou Commodity Ex- change,highlight the innovation of option and activate the simulated trading of options.Many professional experts say that the era of options is coming.The point of option trading is ac- curate pricing and valuation. This thesis investigates the pricing of option when the dynamics of the risky under- lying asset are governed by a markov-modulated jump diffusion model.We suppose that the risk free rate,the appreciation rate,the volatility and the jump intensity of the underlying risky asset are depend on the state of the economy,whick is formulated by a continuous-time finite- state markov chain.Here we will adopt the esscher transform of Gerber and Shiu(1995) and The First Fundamental Theorem of Asset Pricing to identify a risk-neutral martingale mea- sure in the inco