Pricing foreign equity options with regime-switching

被引：27
|
作者：
Fan, Kun [1 ,5 ]
Shen, Yang [2 ,3 ,5 ]
Siu, Tak Kuen [4 ,5 ]
Wang, Rongming [1 ]
机构：
[1] E China Normal Univ, Sch Finance & Stat, Shanghai 200241, Peoples R China
[2] Univ New S Wales, Australian Sch Business, Sch Risk & Actuarial Studies, Sydney, NSW 2052, Australia
[3] Univ New S Wales, Australian Sch Business, CEPAR, Sydney, NSW 2052, Australia
[4] City Univ London, Cass Business Sch, London EC1Y 8TZ, England
[5] Macquarie Univ, Fac Business & Econ, Dept Appl Finance & Actuarial Studies, Sydney, NSW 2109, Australia
来源：
ECONOMIC MODELLING | 2014年 / 37卷
基金：
中国国家自然科学基金;
关键词：
Foreign equity option; Regime-switching; Mean-reversion; Fast Fourier transform; MEAN REVERSION; STOCHASTIC VOLATILITY; EXCHANGE-RATES; CURRENCY OPTIONS; MODEL;
D O I：
10.1016/j.econmod.2013.11.009
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we investigate the valuation of two types of foreign equity options under a Markovian regime-switching mean-reversion lognormal model, where some key model parameters in the dynamics of the foreign equity price and the foreign exchange rate are modulated by a continuous-time, finite-state Markov chain. A fast Fourier transform (FFT) approach is applied to provide an efficient way to evaluate the option prices. Numerical analysis and empirical studies are provided to illustrate the practical implementation of the proposed pricing model. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码：296 / 305
页数：10
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