European option pricing model in fractional jump-diffusion process with regime switching
In this paper,the long-term dependence,no-constant volatility of stock price and the impact of real financial market emergencies were considered,the stock price model in fractional jump-diffusion process with regime switching was established,the actuarial method and Monte Carlo simulation algorithm were used to price the convertible bond,the marketdata of Shanghai Bank Securities and Shanghai Bank convertible bond were used for empirical analysis.The empirical results showed that,the stock price model in fractional jump-diffusion process with regime switching was more suitable for the actual financial market.
fractional Brownian motionjump-diffusionprocessregime switchingMonte Carlo simulation300ETF
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