The Application of Lévy Processes with Stochastic Interest Rates in Structural Models
碩士 === 國立高雄大學 === 亞太工商管理學系碩士班 === 96 === In jump-diffusion process, jump component is supposed to reflect non-systematic risk. In terms of CAPM, this means that the jump risk is not priced. However, Jarrow and Rosenfeld (1984) and Kim et al. (1994) document that jump component mainly represent syste...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/99297828145792232781 |