报告题目：Pricing vulnerable options under a Markov-modulated regime switching model

报告摘要：In this talk, we consider the pricing of vulnerable European options when the dynamic of the risky assets are governed by Markov-modulated Geometric Brownian Motions. The regime switching Esscher transform is employed to determine an equivalent martingale measure. In particular, we also provide analytical pricing formulas of vulnerable European options under a Markov-modulated jump-diffusion model.

报告人：王文胜，杭州师范大学教授

时 间：2015年6月19日（周五）10:00-11:00

地 点：18-918（理学院会议室）

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半岛平台数学科学系