| dc.contributor | 金融系 | - |
| dc.creator (作者) | 林士貴 | - |
| dc.creator (作者) | Hsu, Chih-Chen;Chen, An-Sing;Lin, Shih-Kuei;Chen, Ting-Fu | - |
| dc.date (日期) | 2016-04 | - |
| dc.date.accessioned | 14-Jul-2016 16:56:42 (UTC+8) | - |
| dc.date.available | 14-Jul-2016 16:56:42 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Jul-2016 16:56:42 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/99048 | - |
| dc.description.abstract (摘要) | This study analyzes affine styled-facts price dynamics of Henry Hub natural gas price by incorporating the price features of jump risk, and seasonality within stochastic volatility framework. Affine styled-facts dynamics has the advantage of being able to incorporate mean reversion (MR), stochastic volatility (SV), seasonality trends (S), and jump diffusion (J) in a standardized inclusive framework. Our main finding is that models that incorporate jumps significantly improve overall out-of-sample option pricing performance. The combined MRSVJS model provides the best fit of both daily gas price returns and the related cross section of option prices. Incorporating seasonal effects tend to provide more stable pricing ability, especially for the long-term option contracts. | - |
| dc.format.extent | 1327036 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Review of Quantitative Finance and Accounting, Vol.48, pp.819-848 | - |
| dc.subject (關鍵詞) | Affine styled-facts price dynamics; Mean reversion; Seasonality; Jump risk; Natural gas options | - |
| dc.title (題名) | The Affine Styled-Facts Price Dynamics for the Natural Gas: Evidence from Daily Returns and Option Prices | - |
| dc.type (資料類型) | article | - |
| dc.identifier.doi (DOI) | 10.1007/s11156-016-0569-x | - |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1007/s11156-016-0569-x | - |
