基地研究员刘诗璨老师、李庆副教授合作论文“The impact of volatility regime dynamics on option pricing”在The North American Journal of Economics and Finance发表。

The North American Journal of Economics and Finance是1988年创刊的金融经济学领域英文学术期刊，属SSCI一区期刊。

摘要：This paper explores the joint impact of stochastic volatility and Markov regime switches on option pricing. Our findings suggest that the interaction between different regimes of stochastic volatility can be adequately captured by expanding the option price asymptotically to the second order. Through our sensitivity analysis, we demonstrate the significance of the volatility level, as reflected in the second order term, in explaining the regime shift in option pricing. Furthermore, numerical and empirical experiments indicate that the adjusted closed-form formula can enhance the accuracy and efficiency of at-the-money option pricing, increasing its viability for practical applications.

关键词：Volatility risk；Markov regime switching；Regime interaction；Option pricing

论文链接：https://doi.org/10.1016/j.najef.2024.102352

教师简介

刘诗璨，现任中南财经政法大学统计与数学学院数量经济系金融数学教研室讲师、硕士生导师，主要研究方向聚焦金融工程、资产定价、投资组合管理与风险管理。近五年以第一作者或唯一通讯作者身份在《Quantitative Finance》《The North American Journal of Economics and Finance》《Journal of Computational and Applied Mathematics》等国际知名期刊发表多篇论文。

李庆，现任中南财经政法大学统计与数学学院数学与数量经济系金融数学教研室副教授、硕士生导师。在《Mathematical Problems in Engineering》《中国管理科学》《科研管理》等国内外核心期刊发表多篇论文，2019年出版专著《可再生能源电力政策研究：实物期权视角》，同时斩获多项学术荣誉，包括中国金融期货交易所征文比赛一等奖、金融系统工程与风险管理年会优秀论文等。