A Recursive Formula of a Participating Contract Embedding a Surrender Option under Regime-Switching Model with Jump Risks: Evidence from Stock Indices
碩士 === 國立高雄大學 === 統計學研究所 === 98 === Hamilton (1989) proposed the regime-switching model to explain the different behaviors of mean and volatility for returns at different states of business cycle. However, the stock price has abnormal vibrations when the unanticipated information released via the st...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/23186262562838814540 |