Empirical Performance and Asset Pricing in Markov Jump Diffusion Models

Empirical Performance and Asset Pricing in Markov Jump Diffusion Models
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Download or read book Empirical Performance and Asset Pricing in Markov Jump Diffusion Models written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 為了改進Black-Scholes模式的實證現象, 許多其他的模型被建議有leptokurtic特性以及波動度聚集的現象. 然而對於其他的模型分析的處理依然是一個問題. 在本論文中, 我們建議使用馬可夫跳躍擴散過程, 不僅能整合leptokurtic與波動度微笑特性, 而且能產生波動度聚集的與長記憶的現象. 然後, 我們應用Lucas的一般均衡架構計算選擇權價格, 提供均衡下當跳躍的大小服從一些特別的分配時則選擇權價格的解析解. 特別地, 考慮當跳躍的大小服從兩個情況, 破產與lognormal分配. 當馬可夫跳躍擴散模型的馬可夫鏈有兩個狀態時, 稱為轉換跳躍擴散模型, 當跳躍的大小服從lognormal分配我們得到選擇權公式. 使用轉換跳躍擴散模型選擇權公式, 我們給定一些參數下研究公式的數值極限分析以及敏感度分析.


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Diese Dissertation besteht aus drei individuellen Aufsätzen, die jeweils eine in sich geschlossene Forschungsarbeit darstellt. Im ersten Aufsatz, "Out-of-Sampl