A Direct Solution Method for Pricing Options in Regime-switching Models
A Direct Solution Method for Pricing Options in Regime-switching Models
复制标题
政权转换模型中期权定价的直接求解方法
DOI：
10.1111/mafi.12220
复制
发表时间：
2020
影响因子：
1.6
通讯作者：
M. Egami and R. Kevkhishvili
中科院分区：
文献类型：
--
作者：
Masahiko Egami;Rusudan Kevkhishvili;M. Egami and R. Kevkhishvili
在状态转换模型中对具有任意支付的金融或真实的期权定价是金融学中的一个重要问题。在数学上，它是在某些标准假设下解决状态转换模型中的一般形式的最优停止问题。在这篇文章中，我们将两种状态环境中具有任意值函数的最优停止问题简化为一对没有状态切换的最优停止问题。然后，我们提出了一种方法，找到最佳的停止规则使用的技术可用于非切换问题。与其他方法相比，我们的系统解决方案的过程是更直接的，因为我们首先获得的价值函数的显式形式。最后，我们讨论了一个期权定价问题，这可能是不处理的常规方法，证明了我们的方法的简单性。
Pricing financial or real options with arbitrary payoffs in regime‐switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in regime‐switching models. In this article, we reduce an optimal stopping problem with an arbitrary value function in a two‐regime environment to a pair of optimal stopping problems without regime switching. We then propose a method for finding optimal stopping rules using the techniques available for nonswitching problems. In contrast to other methods, our systematic solution procedure is more direct as we first obtain the explicit form of the value functions. In the end, we discuss an option pricing problem, which may not be dealt with by the conventional methods, demonstrating the simplicity of our approach.