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Option Pricing Under Regime Switching (analytical, PDE, and FFT Methods)

Mohammad Yousef Akhavein Sohrabi

出版	University of Waterloo, 2011
URL	http://books.google.com.hk/books?id=bM-AAQAACAAJ&hl=&source=gbs_api

註釋

Although globally used in option pricing, the Black-Scholes model has not been able to reflect the evolution of stocks in the real world. A regime-switching model which allows jumps in the underlying asset prices and the parameters of the corresponding stochastic process is more accurate. We evaluate the analytical solution for pricing of European options under a two-state regime switching model. Both the convergence of the analytical solution and the feature of implied volatility are investigated through numerical examples.