| dc.contributor | 金融系 | en_US |
| dc.creator (作者) | Fuh, Cheng-Der ; Hu, Inchi ; Lin, Shih-Kuei | en_US |
| dc.creator (作者) | 林士貴 | - |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 27-Mar-2014 17:04:17 (UTC+8) | - |
| dc.date.available | 27-Mar-2014 17:04:17 (UTC+8) | - |
| dc.date.issued (上傳時間) | 27-Mar-2014 17:04:17 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/64950 | - |
| dc.description.abstract (摘要) | To improve the empirical performance of the Black-Scholes model, many alternative models have been proposed to address leptokurtic feature, volatility smile, and volatility clustering effects of the asset return distributions. However, analytical tractability remains a problem for most alternative models. In this article, we study a class of hidden Markov models including Markov switching models and stochastic volatility models, that can incorporate leptokurtic feature, volatility clustering effects, as well as provide analytical solutions to option pricing. We show that these models can generate long memory phenomena when the transition probabilities depend on the time scale. We also provide an explicit analytic formula for the arbitrage-free price of the European options under these models. The issues of statistical estimation and errors in option pricing are also discussed in the Markov switching models. | en_US |
| dc.format.extent | 152 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Communications in Statistics: Theory and Methods,32(12), 2477-2512 | en_US |
| dc.subject (關鍵詞) | Markov switching model; Stochastic volatility model; Leptokurtic; Cluster phenomenon; Long memory; Volatility smile; European options; Likelihood estimation; EM algorithm | en_US |
| dc.title (題名) | Empirical Performance and Asset Pricing in Hidden Markov Model | en_US |
| dc.type (資料類型) | article | en |
