哈尔滨商业大学学报（自然科学版）2024，Vol.40Issue(2)：229-236,8.
分数跳-扩散过程下具有机制转换的欧式期权定价
European option pricing model in fractional jump-diffusion process with regime switching
摘要
Abstract
In this paper,the long-term dependence,no-constant volatility of stock price and the impact of real financial market emergencies were considered,the stock price model in fractional jump-diffusion process with regime switching was established,the actuarial method and Monte Carlo simulation algorithm were used to price the convertible bond,the marketdata of Shanghai Bank Securities and Shanghai Bank convertible bond were used for empirical analysis.The empirical results showed that,the stock price model in fractional jump-diffusion process with regime switching was more suitable for the actual financial market.关键词
分数布朗运动/跳-扩散过程/机制转换/蒙特卡洛模拟/沪深300ETFKey words
fractional Brownian motion/jump-diffusionprocess/regime switching/Monte Carlo simulation/300ETF分类
管理科学引用本文复制引用
李雨珊,惠雨馨,薛红..分数跳-扩散过程下具有机制转换的欧式期权定价[J].哈尔滨商业大学学报（自然科学版）,2024,40(2):229-236,8.基金项目
陕西省自然科学基础研究计划(2016JM1031) （2016JM1031）
