Valuation of Equity-Indexed Annuities under Regime-Switching Jump Model:Evidence from Stock Indices
碩士 === 國立高雄大學 === 統計學研究所 === 98 === Charles, Fuh, and Lin (2010) proposed a Markov-switching jump diffusion model (MSJDM) to improve the empirical performance. The model can capture not only the leptokurtic feature and volatility smile but also the economically important volatility clustering phenom...
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| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/97837561477832427067 |