政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/129100

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 109953/140903 (78%)
Visitors : 46055738 Online Users : 949

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 統計學系 > 期刊論文 > Item 140.119/129100

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/129100

Title:	Stock Index Options Pricing under Jump Patterns Driven by Market States
Authors:	劉惠美* Liu, Huimei Lin, Chao-Yang Lee, Jia-Ching Lin, Shih-Kuei
Contributors:	統計系
Keywords:	characteristic function pricing approach; Esscher transform; jump-diffusion process with modulated frequency and amplitude; volatility clustering; volatility smile
Date:	2019-02
Issue Date:	2020-03-04 15:30:50 (UTC+8)
Abstract:	This article reports that both jump amplitudes and arrival rates are related to the economic states in the DJX and the SPX markets. It then proposes a jump-diffusion process model with modulated frequency and amplitude (JD-MF-MA) to depict these patterns. Using this model, we also derive a closed-form formula for the European index option through the characteristic function pricing approach. The empirical results show that the model with modulated jumps not only captures the characteristics of returns but also improves pricing performance. Overall, the modulated jump should be the default modeling choice for derivatives pricing models.
Relation:	Emerging Markets Finance and Trade, pp.1-20
Data Type:	article
DOI 連結:	https://doi.org/10.1080/1540496X.2018.1563778
DOI:	10.1080/1540496X.2018.1563778
Appears in Collections:	[統計學系] 期刊論文

Files in This Item:

File	Description	Size	Format
382.pdf		1014Kb	Adobe PDF2	174	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

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。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

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。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...