Option pricing under regime-switching jump model with dependent jump sizes: evidence from stock index option
碩士 === 國立政治大學 === 統計研究所 === 99 === Black and Scholes (1973) proposed B-S model to fit asset return, but B-S model can’t effectively explain some asset return properties, such as leptokurtic, volatility smile, volatility clustering and long memory. Merton (1976) develop jump diffusion model (JDM) tha...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/26633974206923177177 |