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政大典藏 > College of Commerce > Department of Finance > Periodical Articles > Item 140.119/77953

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/77953

Title:	Information-time based futures pricing
Authors:	Yen, Simon;Wang, Jai Jen 顏錫銘
Contributors:	財管系
Keywords:	The cost of carry model;Information time;Intertemporal futures pricing
Date:	2009-09
Issue Date:	2015-08-24 12:06:45 (UTC+8)
Abstract:	This study follows Clark [P.K. Clark, A subordinated stochastic process model with finite variance for speculative prices, Econometrica 41 (1973) 135–155] and Chang, Chang and Lim [C.W. Chang, S.K. Chang, K.G. Lim, Information-time option pricing: Theory and empirical evidence, Journal of Financial Economics 48 (1998) 211–242] to subordinate an information-time based directing process into calendar-time based parent processes. A closed-form futures pricing formula is derived after taking into account the information-time setting and the stochasticity of the spot price, interest rate, and convenience yield. According to the empirical results on the TAIEX and TFETX data from 1998/7/21 to 2003/12/31, the information-time based model performs better than its calendar-time based counterpart and the cost of carry model, especially when the information arrival intensity estimates become larger.
Relation:	Physica A: Statistical Mechanics and its Applications, 388(18), 3826-3836
Data Type:	article
DOI link:	http://dx.doi.org/10.1016/j.physa.2009.05.031
DOI:	10.1016/j.physa.2009.05.031
Appears in Collections:	[Department of Finance] Periodical Articles

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