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: | Lee, Jia-Ching, 李家慶 |
---|---|
Other Authors: | Liu, Hui Mei |
Format: | Others |
Language: | zh-TW |
Published: |
2011
|
Online Access: | http://ndltd.ncl.edu.tw/handle/26633974206923177177 |
Similar Items
-
Option pricing of a stock index under regime switching model with dependent jump size risks: empirical analysis of the stock index option
by: Lin, Tsung Wei, et al. -
The assessment of pricing quality for the jump-diffusion models and the pure jump option pricing model:Evidence from the Taiwan stock options
by: Kun-Cing Lin, et al.
Published: (2010) -
Option Pricing and Empirical Analysis for Interest Rate and Stock Index Return with Regime-Switching Model and Dependent Jump Risks
by: Wu, Po Cheng, et al.
Published: (2015) -
Pricing Vulnerable Options with Market Prices of Common Jump Risks under Regime-Switching Models
by: Miao Han, et al.
Published: (2018-01-01) -
Cox-Ross-Rubinstein Option Pricing Model with Dependent Jump Sizes
by: Fares, Souha A.
Published: (2011)