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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/70513
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/70513

    Title: Pricing gold options under Markov-modulated jump-diffusion processes
    Authors: 林士貴;連育民;廖四郎
    Contributors: 金融系
    Keywords: gold price;European gold option;Markov-modulated jump-diffusion process;Esscher transform;C51;G12
    Date: 2014.04
    Issue Date: 2014-10-09 16:45:53 (UTC+8)
    Abstract: In this study, we empirically investigate the properties of gold returns, and the European gold options are priced when the underlying gold price dynamics are driven by Markov-modulated jump-diffusion processes. Specifically, the jump events are captured by a compound Poisson process with a log-normal jump size, and the regime-switching intensity rate is governed by a continuous-time finite-state Markov chain. Under an incomplete market setting, we study the valuation of European gold options using the method of Esscher transform. The estimated results and numerical examples are provided.
    Relation: Applied Financial Economics,24(12),825-836
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1080/09603107.2014.914142
    DOI: 10.1080/09603107.2014.914142
    Appears in Collections:[金融學系] 期刊論文

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