具有制度转换的扩展 Cox-Ingersoll-Ross 过程中条件矩的分析计算:具有金融应用价值的混合 PDE 系统解决方案

IF 4.4 2区 数学 Q1 COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS
Sanae Rujivan , Nopporn Thamrongrat , Parun Juntanon , Boualem Djehiche
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引用次数: 0

摘要

本文介绍了一种新颖的分析方法,用于计算由连续时间有限状态不可还原马尔可夫链驱动的 m 状态制度切换扩展 Cox-Ingersoll-Ross 过程的 n 次条件矩。这种方法适用于所有 n≥1 和 m≥1 的整数,从而确保了广泛的实用性。我们研究的关键是一个由相互连接的 PDEs 组成的复杂混合系统,该系统是通过利用制度切换扩散过程的费曼-卡克公式推导出来的。此外,我们还研究了双态制度切换 Cox-Ingersoll-Ross 过程的第一个条件矩的渐近特性,尤其关注马尔可夫链强度矩阵固有对称性的影响以及各种参数配置的影响。为了突出我们方法的实用性,我们进行了蒙特卡罗模拟,不仅证实了我们提出的方法的准确性和计算效率,还展示了它在金融市场实际应用中的适用性。我们研究中强调的一个主要应用是在动态、均值回复、混合制度切换框架内对 VIX 期货和 VIX 期权进行估值。这体现了我们的分析方法对当代金融建模和衍生品定价产生重大影响的潜力。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Analytical computation of conditional moments in the extended Cox–Ingersoll–Ross process with regime switching: Hybrid PDE system solutions with financial applications
In this paper, we introduce a novel analytical approach for the computation of the nth conditional moments of an m-state regime-switching extended Cox–Ingersoll–Ross process driven by a continuous-time finite-state irreducible Markov chain. This approach is applicable for all integers n1 and m1, thereby ensuring wide-ranging utility. The key of our investigation is a complex hybrid system of inter-connected PDEs, derived through a utilization of the Feynman–Kac formula for regime-switching diffusion processes. Our exploration into the solutions of this hybrid PDE system culminates in the derivation of exact closed-form formulas for the conditional moments for diverse values of n and m. Additionally, we study the asymptotic characteristics of the first conditional moments for the 2-state regime-switching Cox–Ingersoll–Ross process, particularly focusing on the effects of the symmetry inherent in the Markov chain’s intensity matrix and the implications of various parameter configurations. Highlighting the practicality of our methodology, we conduct Monte Carlo simulations to not only corroborate the accuracy and computational efficacy of our proposed approach but also to demonstrate its applicability to real-world applications in financial markets. A principal application highlighted in our study is the valuation of VIX futures and VIX options within a dynamic, mean-reverting, hybrid regime-switching framework. This exemplifies the potential of our analytical method to significantly impact contemporary financial modeling and derivative pricing.
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来源期刊
Mathematics and Computers in Simulation
Mathematics and Computers in Simulation 数学-计算机:跨学科应用
CiteScore
8.90
自引率
4.30%
发文量
335
审稿时长
54 days
期刊介绍: The aim of the journal is to provide an international forum for the dissemination of up-to-date information in the fields of the mathematics and computers, in particular (but not exclusively) as they apply to the dynamics of systems, their simulation and scientific computation in general. Published material ranges from short, concise research papers to more general tutorial articles. Mathematics and Computers in Simulation, published monthly, is the official organ of IMACS, the International Association for Mathematics and Computers in Simulation (Formerly AICA). This Association, founded in 1955 and legally incorporated in 1956 is a member of FIACC (the Five International Associations Coordinating Committee), together with IFIP, IFAV, IFORS and IMEKO. Topics covered by the journal include mathematical tools in: •The foundations of systems modelling •Numerical analysis and the development of algorithms for simulation They also include considerations about computer hardware for simulation and about special software and compilers. The journal also publishes articles concerned with specific applications of modelling and simulation in science and engineering, with relevant applied mathematics, the general philosophy of systems simulation, and their impact on disciplinary and interdisciplinary research. The journal includes a Book Review section -- and a "News on IMACS" section that contains a Calendar of future Conferences/Events and other information about the Association.
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