English  |  正體中文  |  简体中文  |  Items with full text/Total items : 88284/117783 (75%)
Visitors : 23395924      Online Users : 159
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    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
    Lin,Shih-Kuei;Lian,Yu-Min;Liao,Szu-Lang
    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

    Files in This Item:

    File Description SizeFormat
    09603107.2014.pdf413KbAdobe PDF666View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback