A new exact solution for pricing European options in a two-state regime-switching economy

Song-Ping Zhu; Alexander Badran; Xiaoping Lu

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A new exact solution for pricing European options in a two-state regime-switching economy

机译：在两国制体制转换经济中为欧洲期权定价的精确解决方案

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In this study, we derive a new exact solution for pricing European options in a two-state regime-switching economy. Two coupled Black-Scholes partial differential equations (PDEs) under the regime switching are solved using the Fourier Transform method. A key feature of the newly-derived solution is its simplicity in the form of a single integral with a real integrand, which leads to great computational efficiency in comparison with other closed-form solutions previously presented in the literature. Numerical examples are provided to demonstrate some interesting results obtained from our pricing formula.

机译：在这项研究中，我们推导了一种新的精确解决方案，用于在两国制体制转换经济中为欧洲期权定价。使用傅里叶变换法求解了状态切换下的两个耦合的Black-Scholes偏微分方程（PDE）。新推导的解决方案的一个关键特征是其简单的形式，即具有单个积分和一个实积数的形式，与先前文献中介绍的其他闭式解决方案相比，它具有很高的计算效率。提供了数值示例，以证明从我们的定价公式中得出的一些有趣结果。

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来源
《Computers & mathematics with applications》 |2012年第8期|p.2744-2755|共12页
作者
Song-Ping Zhu; Alexander Badran; Xiaoping Lu;
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作者单位

School of Mathematics and Applied Statistics, University of Wollongong, Australia;

School of Mathematics and Applied Statistics, University of Wollongong, Australia;

School of Mathematics and Applied Statistics, University of Wollongong, Australia;

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正文语种 eng
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关键词
regime switching; european options; fourier transform; fourier inversion; black-scholes model;

机译：政权转换;欧洲期权;傅里叶变换;傅立叶反演布莱克-斯科尔斯模型;

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4. Alternative Form of Analytic Solution of European Option Price in Model with Stochastic Volatility Driven by Ornstein-Uhlenbeck Process Using Bilateral Laplace Transform [C] . G. Christanto, B. D. Handari, H. Tasman International Symposium on Current Progress in Mathematics and Sciences . 2019

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机译：在两国制体制转换经济中为欧洲期权定价的精确解决方案

A new exact solution for pricing European options in a two-state regime-switching economy

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