Option pricing of a stock index under regime switching model with dependent jump size risks: empirical analysis of the stock index option
碩士 === 國立政治大學 === 統計研究所 === 100 === In this paper, we derive regime switching model, regime switching model with independent jump and regime switching model with dependent jump by Esscher transformation. We use the data from 1999 to 2011 Dow-Jones industrial average index market price to estimate th...
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/4gbyy2 |