Abstract

In this paper, we present a double exponential jump-diffusion option pricing model with stochastic interest rates, stochastic volatility, and stochastic jump intensity. In addition, Markov regime-switching is introduced to modulate the mean-reverting level of the squared volatility. We obtain the analytical pricing formulae for European options under this model. Finally, we use numerical examples to explore the effects of the regime-switching, stochastic jump intensity and the distribution of jump size on the option price or (and) the implied volatility.

中文翻译：

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具有随机强度、随机利率和马尔可夫状态转换随机波动率的双指数跳跃下的期权估值

摘要

在本文中，我们提出了一个具有随机利率、随机波动率和随机跳跃强度的双指数跳跃扩散期权定价模型。此外，引入马尔可夫状态转换来调节平方波动率的均值回归水平。我们得到了该模型下欧式期权的解析定价公式。最后，我们使用数值示例来探讨状态转换、随机跳跃强度和跳跃大小分布对期权价格或（和）隐含波动率的影响。