英文标题：
《Asset Pricing in a Semi-Markov Modulated Market with Time-dependent
Volatility》
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作者：
Tanmay S. Patankar
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最新提交年份：
2016
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英文摘要：
This project attempts to address the problem of asset pricing in a financial market, where the interest rates and volatilities exhibit regime switching. This is an extension of the Black-Scholes model. Studies of Markov-modulated regime switching models have been well-documented. This project extends that notion to a class of semi-Markov processes known as age-dependent processes. We also allow for time-dependence in volatility within regimes. We show that the problem of option pricing in such a market is equivalent to solving a certain integral equation.
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中文摘要：
本项目试图解决金融市场中的资产定价问题，在金融市场中，利率和波动性表现出制度转换。这是Black-Scholes模型的扩展。马尔可夫调制的区域切换模型的研究已经有了很好的记录。本项目将这一概念扩展到一类称为年龄相关过程的半马尔可夫过程。我们还考虑了制度内波动的时间依赖性。我们证明了这样一个市场中的期权定价问题等价于求解一个积分方程。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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