Valuation of correlation options under a stochastic interest rate model with regime switching

被引：0
作者：
Kun Fan
Rongming Wang
机构：
[1] East China Normal University,School of Statistics
来源：
Frontiers of Mathematics in China | 2017年 / 12卷
关键词：
Correlation option; stochastic interest rate; regime-switching; forward measure; fast Fourier transform (FFT); 60G99;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We consider the valuation of a correlation option, a two-factor analog of a European call option, under a Hull-White interest rate model with regime switching. More specifically, the model parameters are modulated by an observable, continuous-time, finite-state Markov chain. We obtain an integral pricing formula for the correlation option by adopting the techniques of measure changes and inverse Fourier transform. Numerical analysis, via the fast Fourier transform, is provided to illustrate the practical implementation of our model.
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页码：1113 / 1130
页数：17
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