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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/65019
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/65019

    Title: A Tale of Two Regimes: Theory and Empirical Evidence for a Markov-Modulated Jump Diffusion Model of Equity Returns and Derivative Pricing Implications
    Authors: Chang, Charles;Fuh, Cheng-Der;Lin, Shih-Kuei
    Contributors: 金融系
    Keywords: Markov-modulated;Jump diffusion;Volatility clustering;Jump clustering;Volatility smile
    Date: 2013.08
    Issue Date: 2014-03-31 15:43:07 (UTC+8)
    Abstract: We provide closed-form solutions for a continuous time, Markov-modulated jump diffusion model in a general equilibrium framework for options prices under a variety of jump diffusion specifications. We further demonstrate that the two-state model provides the leptokurtic return features, volatility smile, and volatility clustering observed empirically for the Dow Jones Industrial Average (DJIA) and its component stocks. Using 10 years of stock return data, we confirm the existence of jump intensity switching and clustering, illustrate transition probabilities, and verify superior empirical fit over competing Poisson-style models.
    Relation: Journla of Banking and Finance,37(8), 3204-3217
    Data Type: article
    DOI 連結: http://dx.doi.org/http://dx.doi.org/10.1016/j.jbankfin.2013.03.009
    DOI: 10.1016/j.jbankfin.2013.03.009
    Appears in Collections:[金融學系] 期刊論文

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