The assessment of pricing quality for the jump-diffusion models and the pure jump option pricing model:Evidence from the Taiwan stock options
碩士 === 國立中正大學 === 財務金融所 === 98 === Abstract The purpose of this paper is to fill the gap of the comparisons of the jump-diffusion models (SV and SVJ models) and the pure jump model (Variance gamma model.) We not only compare the pricing performance and also the trading performance of each innovative...
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ndltd-TW-098CCU053040572015-10-13T18:25:31Z http://ndltd.ncl.edu.tw/handle/65179929808728246167 The assessment of pricing quality for the jump-diffusion models and the pure jump option pricing model:Evidence from the Taiwan stock options 跳躍離散模型與純跳躍模型的評價績效比較:以台灣股票選擇權為例 Kun-Cing Lin 林坤慶 碩士 國立中正大學 財務金融所 98 Abstract The purpose of this paper is to fill the gap of the comparisons of the jump-diffusion models (SV and SVJ models) and the pure jump model (Variance gamma model.) We not only compare the pricing performance and also the trading performance of each innovative option pricing model. The comprehensive analysis can provide the investors advise to make profits with the intraday trading strategy. We also incorporate the past return, the percentage of pricing errors, and the trading profit to make the 3D surface plots. These surface plots can give the clues of implementing the correct trading strategy. We find that the VG model perform best for the intraday trading tests. We also make the distance test to gauge the distance between the true statistical density and the implied risk-neutral densities of each models. The results represent the SVJ model is the most to fit the empirical density. The possible explanation of the inconsistence is the option market of Taiwan may have the problem of systematical pricing biases. An-Sing Chen 陳安行 2010 學位論文 ; thesis 61 en_US |
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碩士 === 國立中正大學 === 財務金融所 === 98 === Abstract
The purpose of this paper is to fill the gap of the comparisons of the jump-diffusion models (SV and SVJ models) and the pure jump model (Variance gamma model.) We not only compare the pricing performance and also the trading performance of each innovative option pricing model. The comprehensive analysis can provide the investors advise to make profits with the intraday trading strategy. We also incorporate the past return, the percentage of pricing errors, and the trading profit to make the 3D surface plots. These surface plots can give the clues of implementing the correct trading strategy. We find that the VG model perform best for the intraday trading tests.
We also make the distance test to gauge the distance between the true statistical density and the implied risk-neutral densities of each models. The results represent the SVJ model is the most to fit the empirical density. The possible explanation of the inconsistence is the option market of Taiwan may have the problem of systematical pricing biases.
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An-Sing Chen |
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An-Sing Chen Kun-Cing Lin 林坤慶 |
author |
Kun-Cing Lin 林坤慶 |
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Kun-Cing Lin 林坤慶 The assessment of pricing quality for the jump-diffusion models and the pure jump option pricing model:Evidence from the Taiwan stock options |
author_sort |
Kun-Cing Lin |
title |
The assessment of pricing quality for the jump-diffusion models and the pure jump option pricing model:Evidence from the Taiwan stock options |
title_short |
The assessment of pricing quality for the jump-diffusion models and the pure jump option pricing model:Evidence from the Taiwan stock options |
title_full |
The assessment of pricing quality for the jump-diffusion models and the pure jump option pricing model:Evidence from the Taiwan stock options |
title_fullStr |
The assessment of pricing quality for the jump-diffusion models and the pure jump option pricing model:Evidence from the Taiwan stock options |
title_full_unstemmed |
The assessment of pricing quality for the jump-diffusion models and the pure jump option pricing model:Evidence from the Taiwan stock options |
title_sort |
assessment of pricing quality for the jump-diffusion models and the pure jump option pricing model:evidence from the taiwan stock options |
publishDate |
2010 |
url |
http://ndltd.ncl.edu.tw/handle/65179929808728246167 |
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