有回扣的制度转换模型中的障碍期权定价

IF 0.9 4区数学 Q3 MATHEMATICS, APPLIED

Acta Mathematicae Applicatae Sinica, English Series Pub Date : 2024-06-05 DOI:10.1007/s10255-024-1053-3

Yue-xu Zhao, Jia-yong Bao

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引用次数: 0

摘要

本文主要研究马尔可夫制度转换模型中的单障碍和双障碍击穿看涨期权的估值问题。通过矩阵维纳-霍普夫因式分解和傅立叶变换技术推导出回扣的积分公式，并构建了期权价格的积分表示。此外，还推导出了双状态制度模型中的第一通过时间密度函数。作为应用，介绍了几种数值算法和数值实例。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Barrier Option Pricing in Regime Switching Models with Rebates

This paper is concerned with the valuation of single and double barrier knock-out call options in a Markovian regime switching model with specific rebates. The integral formulas of the rebates are derived via matrix Wiener-Hopf factorizations and Fourier transform techniques, also, the integral representations of the option prices are constructed. Moreover, the first-passage time density functions in two-state regime model are derived. As applications, several numerical algorithms and numerical examples are presented.

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来源期刊

Acta Mathematicae Applicatae Sinica, English Series 数学-应用数学

CiteScore

1.30

自引率

0.00%

发文量

审稿时长

3.0 months

期刊介绍： Acta Mathematicae Applicatae Sinica (English Series) is a quarterly journal established by the Chinese Mathematical Society. The journal publishes high quality research papers from all branches of applied mathematics, and particularly welcomes those from partial differential equations, computational mathematics, applied probability, mathematical finance, statistics, dynamical systems, optimization and management science.