Option Pricing and Empirical Analysis for Interest Rate and Stock Index Return with Regime-Switching Model and Dependent Jump Risks
碩士 === 國立政治大學 === 統計研究所 === 104 === To model asset return, Chen, Chang, Wen and Lin (2013) proposed Markov-Modulated Jump Diffusion Model (MMJDM) assuming that the Brownian motion term and jump frequency are all related to market states. In fact, the interest rate is not constant, Regime-Switching M...
Main Authors: | , |
---|---|
Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2015
|
Online Access: | http://ndltd.ncl.edu.tw/handle/01662439100223923949 |
id |
ndltd-TW-104NCCU5337001 |
---|---|
record_format |
oai_dc |
spelling |
ndltd-TW-104NCCU53370012017-10-08T04:31:07Z http://ndltd.ncl.edu.tw/handle/01662439100223923949 Option Pricing and Empirical Analysis for Interest Rate and Stock Index Return with Regime-Switching Model and Dependent Jump Risks 狀態轉換下利率與跳躍風險股票報酬之歐式選擇權評價與實證分析 Wu, Po Cheng 巫柏成 碩士 國立政治大學 統計研究所 104 To model asset return, Chen, Chang, Wen and Lin (2013) proposed Markov-Modulated Jump Diffusion Model (MMJDM) assuming that the Brownian motion term and jump frequency are all related to market states. In fact, the interest rate is not constant, Regime-Switching Model is taken to fit the process of the zero-coupon bond price, and a bivariate model for interest rate and stock index return with regime-switching and dependent jump risks (MMJDMSI) is proposed. The empirical data are Dow Jones Industrial Average and S&;P 500 Index from 1999 to 2013, together with US 1-Year Treasury Bond over the same period. Model parameters are estimated by the Expectation-Maximization (EM) algorithm. The likelihood ratio test (LRT) is performed to compare nested models, and MMJDMSI is better than the others. Then, European call option pricing formula under each model is derived via Esscher transformation, and sensitivity analysis is conducted to evaluate changes resulted from different parameter values under the MMJDMSI pricing formula. Finally, model calibrations are performed and implied volatilities are computed under each model empirically. In cases of in-the-money and out-the-money, MMJDMSI has either the smallest or the second smallest pricing error. Also, the implied volatilities from MMJDMSI display a volatility smile curve. Chen, Li Shya Lin, Shih Kuei 陳麗霞 林士貴 2015 學位論文 ; thesis 77 zh-TW |
collection |
NDLTD |
language |
zh-TW |
format |
Others
|
sources |
NDLTD |
description |
碩士 === 國立政治大學 === 統計研究所 === 104 === To model asset return, Chen, Chang, Wen and Lin (2013) proposed Markov-Modulated Jump Diffusion Model (MMJDM) assuming that the Brownian motion term and jump frequency are all related to market states. In fact, the interest rate is not constant, Regime-Switching Model is taken to fit the process of the zero-coupon bond price, and a bivariate model for interest rate and stock index return with regime-switching and dependent jump risks (MMJDMSI) is proposed. The empirical data are Dow Jones Industrial Average and S&;P 500 Index from 1999 to 2013, together with US 1-Year Treasury Bond over the same period. Model parameters are estimated by the Expectation-Maximization (EM) algorithm. The likelihood ratio test (LRT) is performed to compare nested models, and MMJDMSI is better than the others. Then, European call option pricing formula under each model is derived via Esscher transformation, and sensitivity analysis is conducted to evaluate changes resulted from different parameter values under the MMJDMSI pricing formula. Finally, model calibrations are performed and implied volatilities are computed under each model empirically. In cases of in-the-money and out-the-money, MMJDMSI has either the smallest or the second smallest pricing error. Also, the implied volatilities from MMJDMSI display a volatility smile curve.
|
author2 |
Chen, Li Shya |
author_facet |
Chen, Li Shya Wu, Po Cheng 巫柏成 |
author |
Wu, Po Cheng 巫柏成 |
spellingShingle |
Wu, Po Cheng 巫柏成 Option Pricing and Empirical Analysis for Interest Rate and Stock Index Return with Regime-Switching Model and Dependent Jump Risks |
author_sort |
Wu, Po Cheng |
title |
Option Pricing and Empirical Analysis for Interest Rate and Stock Index Return with Regime-Switching Model and Dependent Jump Risks |
title_short |
Option Pricing and Empirical Analysis for Interest Rate and Stock Index Return with Regime-Switching Model and Dependent Jump Risks |
title_full |
Option Pricing and Empirical Analysis for Interest Rate and Stock Index Return with Regime-Switching Model and Dependent Jump Risks |
title_fullStr |
Option Pricing and Empirical Analysis for Interest Rate and Stock Index Return with Regime-Switching Model and Dependent Jump Risks |
title_full_unstemmed |
Option Pricing and Empirical Analysis for Interest Rate and Stock Index Return with Regime-Switching Model and Dependent Jump Risks |
title_sort |
option pricing and empirical analysis for interest rate and stock index return with regime-switching model and dependent jump risks |
publishDate |
2015 |
url |
http://ndltd.ncl.edu.tw/handle/01662439100223923949 |
work_keys_str_mv |
AT wupocheng optionpricingandempiricalanalysisforinterestrateandstockindexreturnwithregimeswitchingmodelanddependentjumprisks AT wūbǎichéng optionpricingandempiricalanalysisforinterestrateandstockindexreturnwithregimeswitchingmodelanddependentjumprisks AT wupocheng zhuàngtàizhuǎnhuànxiàlìlǜyǔtiàoyuèfēngxiǎngǔpiàobàochóuzhīōushìxuǎnzéquánpíngjiàyǔshízhèngfēnxī AT wūbǎichéng zhuàngtàizhuǎnhuànxiàlìlǜyǔtiàoyuèfēngxiǎngǔpiàobàochóuzhīōushìxuǎnzéquánpíngjiàyǔshízhèngfēnxī |
_version_ |
1718552145243930624 |