Application of Currency Option Markets in Stochastic Volatility Models
碩士 === 國立政治大學 === 金融研究所 === 103 === This study provide a new generalized currency option pricing model with jump-diffusion, stochastic interest rates and stochastic volatility to deduce analytical solutions for the European option. By using euro-dollar (EURUSD) European exchange rate option as empir...
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/ru7x8m |
| Summary: | 碩士 === 國立政治大學 === 金融研究所 === 103 === This study provide a new generalized currency option pricing model with jump-diffusion, stochastic interest rates and stochastic volatility to deduce analytical solutions for the European option. By using euro-dollar (EURUSD) European exchange rate option as empirical data we compare how models with different factors reflect the calibration and prediction capabilities on market price. The empirical results shows that in general, jump-diffusion model and stochastic volatility model performed better compared to other models.
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