The Valuation of Inflation-Protected Securities in Systematic Jump Risk：Evidence in American TIPS Market
碩士 === 國立中山大學 === 財務管理學系研究所 === 97 === Most of the derivative pricing models are developed in the jump diffusion models, and many literatures assume those jumps are diversifiable. However, we find many risk cannot be avoided through diversification. In this paper, we extend the Jarrow and Yildirim m...
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| Format: | Others |
| Language: | en_US |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/g38cb8 |