PRICING DERIVATIVES INCORPORATING STRUCTURAL MARKET CHANGES AND IN TIME CORRELATION

被引：2

作者：

Bladt, Mogens ^{[1
]}

Mendez, Enrique ^{[1
]}

Padilla, Pablo ^{[1
]}

机构：

[1] Univ Nacl Autonoma Mexico, Inst Invest Matemat Aplicadas & Sistemas, Mexico City 04510, DF, Mexico

来源：

STOCHASTIC MODELS | 2008年 / 24卷

关键词：

Black-Scholes; Markov modulated model; Time correlation;

D O I：

10.1080/15326340802437751

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We present a model for pricing European derivatives when structural changes in the market are taken into account and these changes exhibit in-time correlation. An economic variable determines the value of the relevant parameters governing the behavior of the underlying asset. The state variable reflects the changes in the market and its dynamics is described by a non-Markovian process. When the time correlation is short, we use an effective Markovian approximation which allows us to obtain explicit formulas, perform numerical simulations, and interpret the results.

引用

页码：164 / 183

页数：20

共 11 条

[1]

BLADT M, 2001, NEW YORK U MATH FIN, V3

[2] COLORED-NOISE PROBLEM - A MARKOVIAN INTERPOLATION PROCEDURE [J].