摘要翻译：
波动性建模已经成为金融数学中的一个重要研究领域。Wiener过程驱动的随机波动率模型因其与理论论证和经验观测相一致而受到广泛的欢迎。然而，这些模型缺乏考虑长期和基本经济因素的能力，例如信贷紧缩。具有均值回复随机波动率的制度转换模型是一类新的随机波动率模型，它同时具有短期和长期特征。针对这类新的随机波动率模型，利用基于Fouque扰动的期权定价方法，提出了一种新的期权定价的一般方法。利用实证数据，我们将我们的期权定价方法与Black-Scholes和Fouque的标准期权定价方法进行了比较，结果表明，我们的定价方法相对于其他两种方法具有更低的相对误差。
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英文标题：
《Regime Switching Stochastic Volatility with Perturbation Based Option
  Pricing》
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作者：
Sovan Mitra
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  Volatility modelling has become a significant area of research within Financial Mathematics. Wiener process driven stochastic volatility models have become popular due their consistency with theoretical arguments and empirical observations. However such models lack the ability to take into account long term and fundamental economic factors e.g. credit crunch.   Regime switching models with mean reverting stochastic volatility are a new class of stochastic volatility models that capture both short and long term characteristics. We propose a new general method of pricing options for these new class of stochastic volatility models using Fouque's perturbation based option pricing method.   Using empirical data, we compare our option pricing method to Black-Scholes and Fouque's standard option pricing method and show that our pricing method provides lower relative error compared to the other two methods.
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PDF链接：
https://arxiv.org/pdf/0904.1756