English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 109952/140887 (78%)
Visitors : 46370055      Online Users : 74
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 > 學位論文 >  Item 140.119/148533
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/148533


    Title: 好跳躍與壞跳躍風險之議題
    Good Jump and Bad Jump Risk Matters
    Authors: 匡顯吉
    Kuang, Xian-Ji
    Contributors: 林士貴
    張興華

    Lin, Shih-Kuei
    Chang, Hsing-Hua

    匡顯吉
    Kuang, Xian-Ji
    Keywords: 變異數風險溢酬
    好跳躍與壞跳躍
    選擇權評價
    橫斷面迴歸
    時間序列分析
    Variance risk premium
    Good jump and bad jump
    Option pricing
    Cross-sectional regression
    Time series analysis
    Date: 2023
    Issue Date: 2023-12-01 13:48:52 (UTC+8)
    Abstract: 在資產定價領域中,理解資產預期報酬與波動性關係是重要議題。在本文中,我們擴展基於 affine GARCH 框架非對稱雙指數跳躍-擴散模型,在 affine GARCH 設定下提出創新模型,該模型使用兩個指數分佈來描述好與壞的跳躍。此外,我們為此模型配置推導出選擇權定價之封閉形式解。我們研究發現,將跳躍成分納入變異數過程可以提高模型估計性能,其中壞跳躍成分貢獻遠大於其好的對應部分。在我們實證分析中,通過模型估計,我們推斷出由這些好與壞跳躍產生之變異數風險溢價。通過橫斷面迴歸,我們確定了這兩種變異數風險溢價都作為已定價風險因子。時間序列分析進一步確認,壞跳躍方差風險溢價在預測報酬方面佔主導地位。
    The understanding of the relationship between an asset’s expected return and its volatility is pivotal in asset pricing. In this paper, we extend the asymmetric double exponential jump-diffusion model grounded in the affine generalized autoregressive conditional heteroskedastic (GARCH) framework. We propose a model within the affine GARCH setting that uses two exponential distributions to separately model good and bad jumps. Furthermore, we deduce a closed-form solution for option pricing within this model structure. Our results suggest that the integration of jump components into the variance process significantly bolsters model estimation performance—the bad jump component markedly outstrips its good counterpart in contribution. In our empirical evaluation, we discern the variance risk premiums attributable to these good and bad jumps through model estimation. A cross-sectional regression reveals that both variance risk premiums serve as priced risk factors. Moreover, a time-series examination underscores the prevailing role of the bad jump variance risk premium in forecasting returns.
    Reference: Bakshi, G., Cao, C., and Chen, Z. (1997). Empirical performance of alternative option pricing models. The Journal of Finance, 52, 2003-2049.

    Bates, D. S. (1991). The crash of ’87: was it expected? The evidence from options markets. The Journal of Finance, 46(3), 1009-1044.

    Bates, D. S. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options. Review of Financial Studies, 9, 69-107.

    Bégin, J. F., Dorion, C., and Gauthier, G. (2020). Idiosyncratic jump risk matters: Evidence from equity returns and options. The Review of Financial Studies, 33, 155-211.

    Bekaert, G., Engstrom, E., and Ermolov, A. (2015). Bad environments, good environments: A non-Gaussian asymmetric volatility model. Journal of Econometrics, 186(1), 258-275.

    Black, F., Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Po- litical Economy, 81, 637-654.

    Bollerslev, T., Tauchen, G., and Zhou, H. (2009). Expected stock returns and variance risk premia. Review of Financial Studies, 22, 4463-4492.

    Brennan, M. (1979). The pricing of contingent claims in discrete time models. The Journal of Finance, 34, 53-68.

    Carr, P., and L. Wu. (2007). Stochastic skew in currency options. Journal of Financial Economics, 86, 213-247.

    Chang, H. L., Chang, Y. C., Cheng, H. W., Peng, P. H., and Tseng, K. (2019). Jump variance risk: Evidence from option valuation and stock returns. Journal of Futures Markets, 39,
    890-915.

    Christoffersen, P., Heston, S., and Jacobs, K. (2013). Capturing option anomalies with a variance dependent pricing kernel. The Review of Financial Studies, 26, 1963-2006.

    Christoffersen, P., Jacobs, K., and Ornthanalai, C. (2012). Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options. Journal of Financial Economics,
    106, 447–472.

    Chernov, M., and Ghysels, E. (2000). A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation. Journal of Financial Economics, 56, 407-458.

    Duan, J. C. (1995). The GARCH option pricing model. Mathematical Finance, 5, 13-32.

    Duffie, D., Pan, J., and Singleton, K. (2000). Transform analysis and asset pricing for affine jump-diffusions. Econometrica, 68, 1343-1376.

    Durham, G., J. Geweke, and P. Ghosh. (2015). A comment on Christoffersen, Jacobs, and Ornthanalai (2012),“Dynamic jump intensities and risk premiums: Evidence from S&P 500 returns and options”. Journal of Financial Economics, 115, 210–214.

    Eraker, B. (2004). Do stock prices and volatility jump? Reconciling evidence from spot and option prices. Journal of Finance, 59, 1367-1404.

    Eraker, B., Johannes, M.S., and Polson, N. (2003). The impact of jumps in volatility and returns. Journal of Finance, 58, 1269-1300.

    Feunou, B., Jahan-Parvar, M. R., and Tédongap, R. (2013). Modeling market downside volatility. Review of Finance, 17(1), 443-481.

    Giglio, S., and Xiu, D. (2021). Asset pricing with omitted factors. Journal of Political Economy, 129(7), 1947-1990.

    Harvey, C. R., and Siddique, A. (2000). Conditional skewness in asset pricing tests. The Journal of Finance, 55(3), 1263-1295.

    Heston, S. L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies, 6, 327-343.

    Heston, S. L., and Nandi, S. (2000). A closed-form GARCH option valuation model. Review of Financial Studies, 13, 585–625.

    Hull, J., and White, A. (1987). The pricing of options on assets with stochastic volatilities. Journal of Finance, 42, 281-300.

    Kilic, M., and Shaliastovich, I. (2019). Good and bad variance premia and expected returns. Management Science, 65, 2522-2544.

    Kou, S. G. (2002). A jump diffusion model for option pricing. Management Science, 48, 1086–1101.

    Kou, S. G., and Wang, H. (2004). Option pricing under a double exponential jump diffusion model. Management Science, 50, 1178–1192.

    Kou, S., Yu, C., and Zhong, H. (2017). Jumps in equity index returns before and during the recent financial crisis: A Bayesian analysis. Management Science, 63, 988-1010.

    Li, J., and Zinna, G. (2018). The variance risk premium: Components, term structures, and stock return predictability. Journal of Business and Economic Statistics, 36(3), 411-425.

    Malik, S., and Pitt, M. K. (2011). Particle filters for continuous likelihood evaluation and maximisation. Journal of Econometrics, 165, 190-209.

    Merton, Robert C. (1976). Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3, 125-144.

    Newey, W. K., and McFadden, D. (1994). Chapter 36 large sample estimation and hypothesis testing. In Handbook of Econometrics, 2111-2245. Elsevier.

    Newey, W. K., and West, K. D. (1994). Automatic lag selection in covariance matrix estimation. The Review of Economic Studies, 61(4), 631-653.

    Ornthanalai, C. (2014). Lévy jump risk: Evidence from options and returns. Journal of Financial Economics, 112, 69-90.

    Rubinstein, M. (1976). The valuation of uncertain income streams and the pricing of options. The Bell Journal of Economics, 7, 407–425.

    Trolle, A., and E. Schwartz. (2009). Unspanned stochastic volatility and the pricing of com- modity derivatives. Review of Financial Studies, 22, 4423–4461.

    Yang, X. (2018). Good jump, bad jump, and option valuation. Journal of Futures Markets, 38, 1097-1125.
    Description: 博士
    國立政治大學
    金融學系
    108352502
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0108352502
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

    Files in This Item:

    File SizeFormat
    250201.pdf1498KbAdobe PDF0View/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 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.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback