CAJ | 학술논문

在这篇文章中，假定市场经济状态由一个两状态马尔可夫链描述，风险资产满足一个两状态的马尔可夫调制过程。当市场处于高波动状态时，风险资产的价格满足跳扩散过程；当市场处于稳定状态时，风险资产的价格满足几何布朗运动。通过测度变换的技术，得到了交换期权的定价公式。最后，利用蒙特卡洛方法给出了期权价值的数值结果。
재저편문장중，가정시장경제상태유일개량상태마이가부련묘술，풍험자산만족일개량상태적마이가부조제과정。당시장처우고파동상태시，풍험자산적개격만족도확산과정；당시장처우은정상태시，풍험자산적개격만족궤하포랑운동。통과측도변환적기술，득도료교환기권적정개공식。최후，이용몽특잡락방법급출료기권개치적수치결과。
In this paper,we suppose that the states of market economy are described by a two-state Markov chain,and the risky asset follows a two-state Markov-modulated process.The risky asset price is driven by a Markov-modulated geometric Brownian motion when the market is stable,but the risky asset follows a jump diffusion process if the market is at a high volatility state.We obtain the pricing formula of a exchange option by measure change.Finally,the result of illustration is provided by Monte Carlo simulation technique.