Heston-Type Stochastic Volatility with a Markov Switching Regime

被引：18

作者：

Elliott, Robert J. ^{[1
,2
,3
]}

Nishide, Katsumasa ^{[4
]}

Osakwe, Carlton-James U. ^{[5
]}

机构：

[1] Univ Adelaide, Sch Math, Adelaide, SA 5005, Australia

[2] Univ South Australia, Ctr Appl Financial Studies, Adelaide, SA 5001, Australia

[3] Univ Calgary, Haskayne Sch Business, Calgary, AB T2N 1N4, Canada

[4] Yokohama Natl Univ, Dept Econ, Hodogaya Ku, 79-4 Tokiwadai, Yokohama, Kanagawa 2408501, Japan

[5] Mt Royal Univ, Calgary, AB, Canada

来源：

JOURNAL OF FUTURES MARKETS | 2016年 / 36卷 / 09期

基金：

澳大利亚研究理事会;

关键词：

MODEL; SIMULATION;

D O I：

10.1002/fut.21761

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We construct a Heston-type stochastic volatility model with a Markov switching regime to price a plain-vanilla stock option. A semi-analytic solution, which contains a matrix ODE is obtained and numerically calculated. Our model is flexible enough to provide a wide variety of volatility surfaces for the same volatility level but different regimes. (C) 2015 Wiley Periodicals, Inc.

引用

页码：902 / 919

页数：18

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