标题： 基于扰动的制度切换随机波动率期权定价 显示英文标题

标题： Regime Switching Stochastic Volatility with Perturbation Based Option Pricing

摘要： 波动率建模已成为金融数学领域的一个重要研究领域。 由维纳过程驱动的随机波动率模型因其与理论论证和实证观察的一致性而变得流行。 然而，这些模型无法考虑长期和基本的经济因素，例如信贷紧缩。 具有均值回归随机波动率的制度转换模型是一个新的随机波动率模型类别，能够捕捉短期和长期特征。 我们提出了一种新的通用方法，用于对这些新的随机波动率模型进行期权定价，使用了Fouque基于摄动的期权定价方法。 使用实证数据，我们将我们的期权定价方法与Black-Scholes和Fouque的标准期权定价方法进行比较，并表明我们的定价方法相比其他两种方法提供了更低的相对误差。 显示英文摘要

摘要： Volatility modelling has become a significant area of research within Financial Mathematics. Wiener process driven stochastic volatility models have become popular due their consistency with theoretical arguments and empirical observations. However such models lack the ability to take into account long term and fundamental economic factors e.g. credit crunch. Regime switching models with mean reverting stochastic volatility are a new class of stochastic volatility models that capture both short and long term characteristics. We propose a new general method of pricing options for these new class of stochastic volatility models using Fouque's perturbation based option pricing method. Using empirical data, we compare our option pricing method to Black-Scholes and Fouque's standard option pricing method and show that our pricing method provides lower relative error compared to the other two methods.