制度转换和随机流动性下的脆弱期权

IF 2.9 3区 经济学 Q1 ECONOMICS Quarterly Review of Economics and Finance Pub Date : 2024-10-18 DOI:10.1016/j.qref.2024.101930
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引用次数: 0

摘要

研究期权定价中的违约风险具有重要的现实意义,因为几乎所有的市场参与者和机构都 面临着信用风险。此外,经济周期和资产流动性也是应当考虑的关键因素。本文考虑了这些因素,并推导出一个分析定价公式。具体来说,我们通过连续时间马尔科夫链驱动的切换波动来模拟经济周期,同时采用基于市场流动性水平的贴现因子来模拟资产流动性。在采用制度转换 Esscher 变换后,我们建立了一个风险中性度量,并制定了一个价格表示法来对脆弱期权进行分析估值,尽管所建立的模型非常复杂。我们进行了一些数值实验来验证模型的有效性和灵活性。
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Vulnerable options with regime switching and stochastic liquidity
Investigating default risk in pricing options holds significant practical importance, as nearly all market participants and institutions face credit risk. Additionally, economic cycles and asset liquidity are crucial factors that should be incorporated. This paper considers these factors and derives an analytical pricing formula. Specifically, we model the economic cycles through switching volatility driven by a continuous-time Markov chain, while we adopt a discounting factor based on market liquidity levels to model the asset liquidity. We establish a risk-neutral measure after embracing a regime-switching Esscher transform, and formulate a price representation to value vulnerable options analytically despite the complexity of the developed model. We conduct several numerical experiments to validate the model’s efficacy and flexibility.
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来源期刊
CiteScore
6.00
自引率
2.90%
发文量
118
期刊介绍: The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.
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