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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/99048

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/99048

Title:	The Affine Styled-Facts Price Dynamics for the Natural Gas: Evidence from Daily Returns and Option Prices
Authors:	林士貴 Hsu, Chih-Chen;Chen, An-Sing;Lin, Shih-Kuei;Chen, Ting-Fu
Contributors:	金融系
Keywords:	Affine styled-facts price dynamics;Mean reversion;Seasonality;Jump risk;Natural gas options
Date:	2016-04
Issue Date:	2016-07-14 16:56:42 (UTC+8)
Abstract:	This study analyzes affine styled-facts price dynamics of Henry Hub natural gas price by incorporating the price features of jump risk, and seasonality within stochastic volatility framework. Affine styled-facts dynamics has the advantage of being able to incorporate mean reversion (MR), stochastic volatility (SV), seasonality trends (S), and jump diffusion (J) in a standardized inclusive framework. Our main finding is that models that incorporate jumps significantly improve overall out-of-sample option pricing performance. The combined MRSVJS model provides the best fit of both daily gas price returns and the related cross section of option prices. Incorporating seasonal effects tend to provide more stable pricing ability, especially for the long-term option contracts.
Relation:	Review of Quantitative Finance and Accounting, Vol.48, pp.819-848
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1007/s11156-016-0569-x
DOI:	10.1007/s11156-016-0569-x
Appears in Collections:	[金融學系] 期刊論文

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