Optimal Hedging Strategy Under Price Jump -Dow Jones Index and Dow Jones Index Futures
碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 92 === This paper investigates the optimal hedge strategies between Dow Jones index futures market and the underlying spot market using OLS model, GARJI model and GARCH model. The presence of jumps exists in stock price. The jump intensity could be negative or positi...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/74986000307221362286 |