Option Pricing with Threshold Mean Reversion
研究了商品价格均值回归速率和波动率随自激体制转换模型变化时的期权定价，推导出欧式和障碍期权的解析定价公式，并通过数值例子展示模型能同时捕捉波动率微笑和均值回归速率的体制转换。
Mean reversion and regime switching are well‐known features of commodity prices. Recent empirical research additionally documents the time variation of the mean reversion rate and volatility. This paper considers the option pricing framework for an underlying commodity price with mean reversion rate and volatility change according to a self‐exciting regime switching model. We offer empirical evidence for the proposed model and derive analytic pricing formulas for the European and barrier options. Numerical examples demonstrate the application and the ability of the proposed model in capturing volatility smile and regime‐switching in the mean reversion rate, simultaneously. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:107–131, 2017