Pricing dynamic fund protections with regime switching
Pricing dynamic fund protections with regime switching
复制标题
通过制度切换对动态基金保护进行定价
DOI：
10.1016/j.cam.2015.11.012
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发表时间：
2016
影响因子：
2.4
通讯作者：
Wang Rongming
中科院分区：
文献类型：
--
作者：
Jin Zhuo;Qian Linyi;Wang Wei;Wang Rongming
本文讨论了马尔可夫政权转换环境中动态基金保护的估值。波动性随时间的变化受连续时间马尔可夫链的影响。使用政权切换扩散过程来描述主要共同基金价值，通过鞅技术获得动态基金保护价值的拉普拉斯变换的显式解。此外，我们分析了广义政权转换跳跃扩散模型下动态基金保护的价值。由于马尔可夫政权转换的复杂性、所涉及的跳跃过程以及非线性，动态基金保护价格的闭式公式几乎不可能获得。我们根据马尔可夫链近似技术设计了数值算法，得到了动态资金保护价值的数值结果。
This paper deals with the valuation of dynamic fund protections in a Markov regime-switching environment. The volatility switches over time subject to a continuous-time Markov chain. Using a regime-switching diffusion process to describe the primary mutual fund value, explicit solutions of the Laplace transforms of the value of the dynamic fund protection are obtained through martingale technique. Moreover, we analyze the value of dynamic fund protections under a generalized regime-switching jump diffusion model. Due to the complexity of Markov regime-switching, the jump process involved, and the nonlinearity, closed-form formulas for dynamic fund protection prices are virtually impossible to obtain. We design a numerical algorithm according to the Markov chain approximation techniques and obtain numerical results of the value of dynamic fund protection.