In this paper, we investigate the valuation of dynamic fund protections under the assumption that the market value of the basic fund and the protection level follow regime-switching processes with jumps. The price of the dynamic fund protection (DFP) is associated with the Laplace transform of the first passage time. We derive the explicit formula for the Laplace transform of the DFP under the regime-switching, hyper-exponential jump-diffusion process. By using the Gaver-Stehfest algorithm, we present some numerical results for the price of the DFP.

中文翻译：

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具有随机保护水平的政权转换跳跃-扩散模型下的动态基金保护定价

在本文中，我们假设基本基金的市场价值和保护水平遵循跳跃式的制度转换过程，从而研究动态基金保护的估值。动态资金保护（DFP）的价格与首次通过时间的拉普拉斯转换有关。我们推导了在状态切换，超指数跳跃扩散过程下DFP的Laplace变换的显式公式。通过使用Gaver-Stehfest算法，我们给出了DFP价格的一些数值结果。