政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/129100

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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

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题名:	Stock Index Options Pricing under Jump Patterns Driven by Market States
作者:	劉惠美* Liu, Huimei Lin, Chao-Yang Lee, Jia-Ching Lin, Shih-Kuei
贡献者:	統計系
关键词:	characteristic function pricing approach; Esscher transform; jump-diffusion process with modulated frequency and amplitude; volatility clustering; volatility smile
日期:	2019-02
上传时间:	2020-03-04 15:30:50 (UTC+8)
摘要:	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.
關聯:	Emerging Markets Finance and Trade, pp.1-20
数据类型:	article
DOI 連結:	https://doi.org/10.1080/1540496X.2018.1563778
DOI:	10.1080/1540496X.2018.1563778
显示于类别:	[統計學系] 期刊論文

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