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    政大機構典藏 > 商學院 > 統計學系 > 期刊論文 >  Item 140.119/129100
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/129100

    Title: Stock Index Options Pricing under Jump Patterns Driven by Market States
    Authors: 劉惠美*
    Liu, Huimei
    Lin, Chao-Yang
    Lee, Jia-Ching
    Lin, Shih-Kuei
    Contributors: 統計系
    Keywords: characteristic function pricing approach; Esscher transform; jump-diffusion process with modulated frequency and amplitude; volatility clustering; volatility smile
    Date: 2019-02
    Issue Date: 2020-03-04 15:30:50 (UTC+8)
    Abstract: This article reports that both jump amplitudes and arrival rates are related to the economic states in the DJX and the SPX markets. It then proposes a jump-diffusion process model with modulated frequency and amplitude (JD-MF-MA) to depict these patterns. Using this model, we also derive a closed-form formula for the European index option through the characteristic function pricing approach. The empirical results show that the model with modulated jumps not only captures the characteristics of returns but also improves pricing performance. Overall, the modulated jump should be the default modeling choice for derivatives pricing models.
    Relation: Emerging Markets Finance and Trade, pp.1-20
    Data Type: article
    DOI 連結: https://doi.org/10.1080/1540496X.2018.1563778
    DOI: 10.1080/1540496X.2018.1563778
    Appears in Collections:[統計學系] 期刊論文

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