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| 摘要: |
| 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，并针对生成矩阵的情况，通过数值算例说明了其对期权定价的影响。 |
| 关键词: 模式转换 Markov链 期权定价 B-S模型 三叉树 |
| DOI： |
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| Factors Affecting Option Pricing under Regime Switch Market |
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WANG Xiao-jie, WANG Zi-ting, LIANG Yue
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| Abstract: |
| 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, from 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. |
| Key words: regime switch Markov chain option pricing B-S Model trinomial |
