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摘要翻译：
我们考虑了一个制度转换扩散市场中的期权定价问题。由于市场是不完全的，衍生品没有唯一的价格。我们应用好交易定价界的思想来获得一个衍生品的价格范围。作为一个例子，我们计算了欧式看涨期权的好交易定价界，并考察了当我们改变驱动机制转换的马尔可夫链生成器时，这些好交易定价界的稳定性。我们发现定价界强烈地依赖于发电机的选择。
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英文标题：
《Good-deal bounds in a regime-switching diffusion market》
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作者：
Catherine Donnelly
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最新提交年份：
2010
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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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英文摘要：
We consider option pricing in a regime-switching diffusion market. As the market is incomplete, there is no unique price for a derivative. We apply the good-deal pricing bounds idea to obtain ranges for the price of a derivative. As an illustration, we calculate the good-deal pricing bounds for a European call option and we also examine the stability of these bounds when we change the generator of the Markov chain which drives the regime-switching. We find that the pricing bounds depend strongly on the choice of the generator.
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PDF链接：
https://arxiv.org/pdf/1006.2273
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