参考文献/References:
[1] Black F,Scholes M. The pricing of options and corporate liabilities[J]. Journal of Politics,1973,81(3): 637-354.
[2] Lévy P. Théories de L’ Addition Aléatories[M]. Paris: Gauthier-Villars Press,1937.
[3] Schoutens W. Levy processes in finance: pricing financial derivatives[M]. London: John Wiley & Sons,2003.
[4] Carr P,German H,Madan D B. Self-decomposability and option pricing[J]. Mathematical Finance,2007,17: 31-57.
[5] Madan D B,Seneta B. The variance Gamma(V.G.) model for share market returns[J]. Journal of Business,1990,63(4): 511-524.
[6] Applebaum D. Lévy processes and stochastic calculus[M]. Cambridge(UK): Cambridge University Press,2004.
[7] Koponen I. Analytic approach to the problem of convergence of truncated Lévy flights towards the Gaussian stochastic process[J]. Physical Review E, 1995,52(1): 1197-1199.
[8] Carr P,Geman H,Madan D B,et al. The fine structure of asset returns: an empirical investigation[J]. Journal of Business,2002,75(2): 305-332.
[9] Bakshi G,Carr P,Wu L. Stochastic risk premiums: stochastic skewness in currency options,and stochastic discount factors in international economics[J]. Journal of Financial Economics,2008,87(1): 132-156.
[10] Carr P,Madan D. Option valuation using the fast Fourier transform[J]. Journal of Computational Finance,1999,2(4): 463-520.
[11] Jacquier E,Jarrow R. Bayesian analysis of contingent claim model error[J]. Journal of Econometrics,2000,94(1/2): 145-180.
[12] Elliott R J,Osakwe C J U. Option pricing for pure jump processes with Markov switching compensators[J]. Finance and Stochastics,2006,10(2):250-275.
[13] Madan D,Carr P,Chang E. The variance Gamma process and option pricing[J]. European Finance Review,1998,2: 79-105.
[14] Madan Y. CGMY and Meixner subordinators are absolutely continuous with respect to one sided stable subordinators[D]. College Park(USA): University of Maryland,2006.
[15] Feuerverger A,Philip McDunnough. On the efficiency of empirical characteristic function procedures[J]. Journal of the Royal Statistical Society,1981,43(1): 20-27.
[16] Merton,R. Option pricing when underlying stock returns are discontinuous[J]. Journal of Financial Economics,1976,3(1/2): 124-144.
[17] Liu Zhidong,Chen Xiaojing. The Lévy model of financial asset price on infinite activity pure jumping and the CF_CGMM parameter estimation and application[J]. Journal of Systems and Management,2010,19(4): 428-438,450. (in Chinese)
刘志东,陈晓静.无限活动纯跳跃金融资产价格Lévy模型及其CF_CGMM参数估计与应用[J]. 系统管理学报,2010,19(4): 428-438,450.
[18] Li Minqiang. A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation[J]. Journal of Economic Dynamics & Control,2010,34(2): 132-157.
[19] Liu Xiaowei,Huang Changwei. The study and experiment of the method of Simpson numerical integration based on MATLAB[J].Journal of Education of Jiangxi Institute,2010,32(6): 53-56.(in Chinese).
刘小伟,黄昌伟. 基于MATLAB的Simpson 数值积分法的研究与实验[J].江西教育学院学报,2010,32(6): 53-56.
相似文献/References:
[1]李松臣,李育鹏,陈迎运,等.随机和非随机部件组成的串并联系统寿命比较[J].深圳大学学报理工版,2014,31(3):312.[doi:10.3724/SP.J.1249.2014.03312]
Li Songchen,Li Yupeng,Chen Yingyun,et al.Comparisons of series and parallel systems with random and non-random dependent components[J].Journal of Shenzhen University Science and Engineering,2014,31(3):312.[doi:10.3724/SP.J.1249.2014.03312]
[2]柳向东,郭慧.基于市道轮换模型的SHIBOR市场利率[J].深圳大学学报理工版,2015,32(3):317.[doi:10.3724/SP.J.1249.2015.03317]
Liu Xiangdong and Guo Hui.Research of market interest rates of the SHIBOR based on regime switching model[J].Journal of Shenzhen University Science and Engineering,2015,32(3):317.[doi:10.3724/SP.J.1249.2015.03317]
[3]柳向东,王星蕊.最小熵鞅测度下的半马氏市道轮换利率模型[J].深圳大学学报理工版,2016,33(2):154.[doi:10.3724/SP.J.1249.2016.02154]
Liu Xiangdong and Wang Xingrui.Semi-Markov regime switching interest rate models under minimal entropy martingale measure[J].Journal of Shenzhen University Science and Engineering,2016,33(3):154.[doi:10.3724/SP.J.1249.2016.02154]
[4]柳向东,靳晓洁.市道轮换下的高频数据参数估计[J].深圳大学学报理工版,2018,35(4):432.[doi:10.3724/SP.J.1249.2018.04432]
LIU Xiangdong and JIN Xiaojie.Parameter estimation via regime switching model for high frequency data[J].Journal of Shenzhen University Science and Engineering,2018,35(3):432.[doi:10.3724/SP.J.1249.2018.04432]