主 题：A unified approach to option pricing under economic regime shifts
内容简介：The Black-Scholes-Merton option pricing model provides an analytical solution, but the empirical performance does not support this Nobel Prize winning master piece. A few puzzles are left unexplained, such as implied volatilities have a shape of smile and/or smirk, option prices do not depend on the expected return of the underlying asset, etc. Researchers have explored these puzzles by adding stochastic volatility or jumps to the asset price process. To some extent, the phenomenon of smile/smirk has been explained by these models, but the expected return of the underlying asset has never been into play in the pricing mechanism. Assuming the underlying asset prices follow a regime switching process in consistent with the NBER categorization of economic expansion and contraction, this paper develops a unified option pricing model that incorporates the expected return of the underlying asset and the regime risk into the pricing mechanism and establishes an analytical pricing formula. Using the S&P 500 index option data to fit the model, this model well explains the skewness of option implied volatilities.
时 间：2017-06-07 14:00
举办单位：金融学院 科研部 研究生院