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政大典藏 > College of Commerce > Department of Money and Banking > Periodical Articles > Item 140.119/79685

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/79685

Title:	Empirical Analysis and Option Pricing under Regime Switching Model with Dependent Jump Size Risks
Authors:	林士貴;劉惠美;陳亭甫;林琮偉 Lin, Shih-Kuei;Liu, Hui-Mei;Chen, Tingfu;Lin, Tsung-Wei
Contributors:	金融系
Keywords:	Esscher 轉換法;跳躍擴散模型;狀態轉換模型
Date:	2012-12
Issue Date:	2015-12-17 10:53:53 (UTC+8)
Abstract:	本文使用Esscher 轉換法推衍跳躍相關風險下狀態轉換模型的選擇權定價公式。透過敏感度分析，驗證股票市場處於高波動之時間、跳躍幅度的波動度及跳躍頻率三者與買權價格呈現正相關。藉由1999 年至2011 年道瓊工業指數，使用（Lin, Hsu, Hung and Hung, 2012）所發展的 Expectation-Maximization (EM) 演算法估計模型參數，並進行選擇權評價。透過AIC、BIC 等配適度檢定，驗證跳躍相關風險下狀態轉換模型相較於Black-Scholes 模型、狀態轉換模型以及跳躍相關風險下狀態轉換模型，在股價指數報酬率有較佳的配適能力。另外，根據選擇權市場資料的驗證結果，跳躍相關風險下狀態轉換模型在價平及價外的定價誤差皆為最小，整體而言，是Black-Scholes 模型、狀態轉換模型、跳躍相關風險下狀態轉換模型以及跳躍相關風險下狀態轉換模型之中最適合的評價模型。
Relation:	Journal of Risk Management, Vol.14, No.2, pp.161-187
Data Type:	article
Appears in Collections:	[Department of Money and Banking] Periodical Articles

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