재무연구 제 권 호 (2007년 4월)
Asian Review of Financial Research, Vol., No..
pp.1181~1192
pp.1181~1192
Valuing Qualitative Options with Stochastic Volatility
Bong-Gyu Jang Derivatives Supervision Team, Financial Supervisory Service, Youngdeungpo-Gu, Seoul, Korea.
Kum-Hwan Roh Department of Mathematical Science, KAIST, 373-1, Guseong-dong Yuseong-gu, Daejeon, Korea.
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.
Bong-Gyu Jang
Kum-Hwan Roh
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.
