發(fā)布時間：2018-04-26 14:54

  本文選題：巨災(zāi)權(quán)益賣權(quán) + 體制轉(zhuǎn)換　； 參考：《應(yīng)用概率統(tǒng)計》2017年03期

【摘要】：本文探討體制轉(zhuǎn)換跳擴(kuò)散模型下巨災(zāi)權(quán)益賣權(quán)的定價問題.模型參數(shù),包括無風(fēng)險利率、保險公司股價的平均回報率和波動率均隨著經(jīng)濟(jì)狀態(tài)的變化而改變.文中假設(shè)經(jīng)濟(jì)環(huán)境采用一個連續(xù)時間、有限狀態(tài)、可觀測的馬爾可夫鏈來刻畫,從而可以將經(jīng)濟(jì)條件的變化考慮到產(chǎn)品定價中.通過體制轉(zhuǎn)換Esscher變換選取一個等價鞅測度,然后通過快速傅立葉變換對巨災(zāi)權(quán)益賣權(quán)進(jìn)行定價.
[Abstract]:In this paper, we discuss the pricing of catastrophe rights under the system transition jump diffusion model. The model parameters, including risk-free interest rate, the average return and volatility of the stock price of insurance companies, all change with the change of economic state. In this paper, we assume that the economic environment is characterized by a continuous time, finite state, observable Markov chain, so that the change of economic conditions can be taken into account in product pricing. An equivalent martingale measure is selected by Esscher transform and then the catastrophe rights are priced by Fast Fourier transform (FFT).
【作者單位】： 華東師范大學(xué)統(tǒng)計學(xué)院;
【基金】：國家自然科學(xué)基金項(xiàng)目(批準(zhǔn)號:11501211) 上海市浦江人才計劃項(xiàng)目(批準(zhǔn)號:15PJC026) 上海市哲學(xué)社科規(guī)劃青年課題(批準(zhǔn)號:2015EJB002) 中國博士后科學(xué)基金第58批面上資助項(xiàng)目(批準(zhǔn)號:2015M581564) 上海市晨光計劃項(xiàng)目(批準(zhǔn)號:15CG22)資助
【分類號】：F224;F840
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本文編號：1806507