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  • 标题:Option Pricing with Markov Switching in Uncertainty Markets
  • 本地全文:下载
  • 作者:Guoshuai Wang , Dianli Zhao
  • 期刊名称:Open Journal of Applied Sciences
  • 印刷版ISSN:2165-3917
  • 电子版ISSN:2165-3925
  • 出版年度:2015
  • 卷号:05
  • 期号:05
  • 页码:191-198
  • DOI:10.4236/ojapps.2015.55019
  • 语种:English
  • 出版社:Scientific Research Publishing
  • 摘要:In this paper, we present a stock model with Markov switching in the uncertainty markets, where the parameters of drift and volatility change according to the states of a Markov process. To price the option, we firstly establish a risk-neutral probability based on the uncertain measure given by Liu. Then a closed form of the European option pricing formula is obtained by applying the Laplace transforms and the inverse Laplace transforms.
  • 关键词:Uncertainty Theory; Markov Process; Laplace Transform; Put-Call Parity; Option Pricing
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