状态转换扩散市场的优交易边界
Good-deal bounds in a regime-switching diffusion market
摘要：
研究了状态转换扩散市场中的期权定价问题。由于市场是不完全的，衍生品没有唯一的价格。我们应用好交易定价界限的思想来获得衍生品价格的范围。作为一个例子，我们计算了一个欧式看涨期权的好交易定价界，我们也检查了这些界的稳定性，当我们改变的马尔可夫链的生成驱动状态转换。我们发现，定价界强烈依赖于发电机的选择。
英文摘要：
We consider option pricing in a regime-switching diffusion market. As the market is incomplete, there is no unique price for a derivative. We apply the good-deal pricing bounds idea to obtain ranges for the price of a derivative. As an illustration, we calculate the good-deal pricing bounds for a European call option and we also examine the stability of these bounds when we change the generator of the Markov chain which drives the regime-switching. We find that the pricing bounds depend strongly on the choice of the generator.
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