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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 경남대학교 기초과학연구소 Nonlinear Functional Analysis and Applications Nonlinear Functional Analysis and Applications Vol.24 No.4
- 발행연도
- 2019.1
- 수록면
- 715 - 733 (19page)
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In this paper, we consider a continuous-time Heston stochastic volatility model with regime-switching, the asset and volatility dynamics are closely related to the value of Markovian modulated process. Compared with the previous literatures, our propose is to extend the one-stochastic volatility model to the double-stochastic volatility model. We are interested in nding solutions to pricing the discretely-sampled volatility swaps under Heston's framework. We also get a closed-form solution by deriving the characteristic function of the lognormal asset price via a system of partial di erential equations.
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참고문헌 (17)
참고문헌 신청
A. Biswas / 2018 / Option pricing in a regime switching stochastic volatility model / Statistics and Probab. Letters 138:116~126
P. Christoffersen / 2009 / The shape and term structure of the index option smirk : Why multifactor stochastic volatility models work so well / Management Science 55(12):1914~1932
J. C. Cox / 1985 / A theory of the term structure of interest rates / Econometrica 53(2):385~407
R. J. Elliott / 1995 / Hidden Markov models: estimation and control / Springer-Verlag
R. J. Elliott / 2005 / Option pricing and esscher transform under regime switching / Ann. of Finance 1(4):423~432
P. Christoffersen / 2009 / The shape and term structure of the index option smirk : Why multifactor stochastic volatility models work so well / Management Science 55(12):1914~1932
J. C. Cox / 1985 / A theory of the term structure of interest rates / Econometrica 53(2):385~407
R. J. Elliott / 1995 / Hidden Markov models: estimation and control / Springer-Verlag
R. J. Elliott / 2005 / Option pricing and esscher transform under regime switching / Ann. of Finance 1(4):423~432
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