Abstract

We consider a general option pricing framework incorporating the double Heston stochastic volatility, stochastic interest rate, jumps and Markov regime switching. Under the proposed framework, we derive the analytical pricing formulae for European options using Fourier transform technique. Numerical examples illustrate that the option prices and the implied volatility curves under different regimes vary clearly, and the effects of regime-switching and jumps on the option price differ.

中文翻译：

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具有马尔可夫制度切换双随机波动率、随机利率和跳跃的统一期权定价模型

摘要

我们考虑一个包含双赫斯顿随机波动率、随机利率、跳跃和马尔可夫制度转换的一般期权定价框架。在所提出的框架下，我们使用傅里叶变换技术推导出欧式期权的分析定价公式。数值例子说明，不同制度下的期权价格和隐含波动率曲线变化明显，制度转换和跳跃对期权价格的影响不同。