英文标题：
《Convergence of Estimated Option Price in a Regime switching Market》
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作者：
Anindya Goswami and Sanket Nandan
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最新提交年份：
2016
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英文摘要：
In an observed generalized semi-Markov regime, estimation of transition rate of regime switching leads towards calculation of locally risk minimizing option price. Despite the uniform convergence of estimated step function of transition rate, to meet the existence of classical solution of the modified price equation, the estimator is approximated in the class of smooth functions and furthermore, the convergence is established. Later, the existence of the solution of the modified price equation is verified and the point-wise convergence of such approximation of option price is proved to answer the tractability of its application in Finance. To demonstrate the consistency in result a numerical experiment has been reported.
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中文摘要：
在观测到的广义半马尔可夫区域中，区域转换的转移率的估计导致了局部风险最小化期权价格的计算。尽管转移率阶跃函数的估计是一致收敛的，但为了满足修正价格方程经典解的存在性，估计被近似为光滑函数类，并进一步证明了收敛性。随后，证明了修正价格方程解的存在性，并证明了这种期权价格近似的逐点收敛性，以回答其在金融中应用的可处理性。为了证明结果的一致性，报道了一个数值实验。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Mathematics 数学
二级分类：Statistics Theory 统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Statistics 统计学
二级分类：Statistics Theory 统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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