원문정보
피인용수 : 0건 (자료제공 : 네이버학술정보)
초록
영어
We ¯nd a closed-form formula for valuing a time-switch option where its underlying asset is a®ected by stochastically changing market environments, and apply it to the valuation of other qualitative options such as corridor options and options in foreign exchange markets. The stochastic market environments are modeled as a Markov regime-switching process. This analytic formula provides us a rapid and accurate valuation scheme for valuing qualitative options with stochastic volatility.
목차
Abstract
1 Introduction
2 The Model
3 The Valuation of a Time-Switch Option
4 Implementation
5 Applications to Other Qualitative Options
6 Conclusion
References
Appendix
1 Introduction
2 The Model
3 The Valuation of a Time-Switch Option
4 Implementation
5 Applications to Other Qualitative Options
6 Conclusion
References
Appendix
저자정보
참고문헌
자료제공 : 네이버학술정보