CAJ | 학술논문

研究了影响模式转换市场下期权定价的因素。首先对模式转换市场下期权定价的三叉树模型进行了分析研究,并证明了其合理性;从而得出,影响模式转换市场下期权定价的因素主要是生成矩阵和不同模式下波动率的差值;然后通过数值算例,利用Matlab编程,证明了波动率对模式转换下期权定价的影响,并针对生成矩阵为对称矩阵的情况,通过数值算例说明了其对期权定价的影响。
연구료영향모식전환시장하기권정개적인소。수선대모식전환시장하기권정개적삼차수모형진행료분석연구,병증명료기합이성;종이득출,영향모식전환시장하기권정개적인소주요시생성구진화불동모식하파동솔적차치;연후통과수치산례,이용Matlab편정,증명료파동솔대모식전환하기권정개적영향,병침대생성구진위대칭구진적정황,통과수치산례설명료기대기권정개적영향。
The factors affecting option pricing under regime switch market are studied, firstly the trinomial model for option pricing under regime switch market is analyzed and studied, its rationality is proved, based on this, we derive that the factors affecting option pricing under regime switch market mainly include generator matrix and the difference value of volatility rate under different modes,then numerical example and Matlab programs are used to verify the impact of volatility rate on option pricing with regime switch while numerical example is used to illustrate the influence of generator matrix on option pricing as generator matrix is symmetric matrix.