期刊
ECONOMIC MODELLING
卷 37, 期 -, 页码 296-305出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.econmod.2013.11.009
关键词
Foreign equity option; Regime-switching; Mean-reversion; Fast Fourier transform
类别
In this paper, we investigate the valuation of two types of foreign equity options under a Markovian regime-switching mean-reversion lognormal model, where some key model parameters in the dynamics of the foreign equity price and the foreign exchange rate are modulated by a continuous-time, finite-state Markov chain. A fast Fourier transform (FFT) approach is applied to provide an efficient way to evaluate the option prices. Numerical analysis and empirical studies are provided to illustrate the practical implementation of the proposed pricing model. (C) 2013 Elsevier B.V. All rights reserved.
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