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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


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    題名: A Tale of Two Regimes: Theory and Empirical Evidence for a Markov-Modulated Jump Diffusion Model of Equity Returns and Derivative Pricing Implications
    作者: Chang, Charles;Fuh, Cheng-Der;Lin, Shih-Kuei
    林士貴
    貢獻者: 金融系
    關鍵詞: Markov-modulated;Jump diffusion;Volatility clustering;Jump clustering;Volatility smile
    日期: 2013.08
    上傳時間: 2014-03-31 15:43:07 (UTC+8)
    摘要: 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.
    關聯: Journla of Banking and Finance,37(8), 3204-3217
    資料類型: 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
    顯示於類別:[金融學系] 期刊論文

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