International Review of Financial Analysis ( IF 7.5 ) Pub Date : 2023-05-25 , DOI: 10.1016/j.irfa.2023.102693 Ping Tian , Hang Zhou , Duotai Zhou
Assuming that the macroeconomic environment can be transformed into a two-district system, that is, the path of financial asset prices is uncertain, we track and study the motion of stocks and other asset price process under the conditional Black-Scholes model, and give the economical explanation of the mathematical formula. Further, we derive and analyze an option pricing formula for the Black-Scholes asset model under the condition that the risk-free interest rate is regime-switching too. The method in this article is applied to model the log rate of return of the Tencent stock in a two-district market environment. And the obtained parameter values are used to calculate the option price. In narrowing the gap with actual option prices, our method outperforms the classical option pricing model point by point. Compared with the general and pure mathematical model derived work and the empirical study work, our study does more work on the economic characteristics analysis and interpretation of the mathematical models, and plays a certain role in linking the results of mathematical models with empirical research.
中文翻译:
体制转换框架下Black-Scholes资产价格分析
假设宏观经济环境可以转化为两区体系,即金融资产价格的路径是不确定的,我们在条件Black-Scholes模型下跟踪研究股票和其他资产价格过程的运动,并给出数学公式的经济解释。此外,我们推导出并分析了在无风险利率也是制度转换的条件下,Black-Scholes 资产模型的期权定价公式。应用本文方法对两区市场环境下腾讯股票的对数收益率进行建模。并将获得的参数值用于计算期权价格。在缩小与实际期权价格的差距方面,我们的方法逐点优于经典期权定价模型。