发帖
雷达卡
摘要翻译：
本文提出了一类基于非齐次电报过程和具有交替挥发的跳变扩散的金融市场模型。假设跳跃发生在趋势和挥发物切换时。我们认为，这种模型很好地捕捉了周期性金融周期下的股票价格动态。详细描述了这一过程的分布情况。对于这个模型，我们得到了鞅测度集的结构。这个不完整的模型可以通过添加另一个基于相同随机性来源的资产来完成。对于完全市场模型，得到了标准欧式期权价格的显式闭式公式。
---
英文标题：
《Option Pricing Model Based on a Markov-modulated Diffusion with Jumps》
---
作者：
Nikita Ratanov
---
最新提交年份：
2008
---
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
--
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
--
---
英文摘要：
The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are switching. We argue that such a model captures well the stock price dynamics under periodic financial cycles. The distribution of this process is described in detail. For this model we obtain the structure of the set of martingale measures. This incomplete model can be completed by adding another asset based on the same sources of randomness. Explicit closed-form formulae for prices of the standard European options are obtained for the completed market model.
---
PDF链接：
https://arxiv.org/pdf/0812.0761
京公网安备 11010802022788号
