| dc.contributor | 金融系 | en_US |
| dc.creator (作者) | Chang, Charles ; Fuh, Cheng-Der ; Lin, Shih-Kuei | en_US |
| dc.creator (作者) | 林士貴 | - |
| dc.date (日期) | 2013.08 | en_US |
| dc.date.accessioned | 31-Mar-2014 15:43:07 (UTC+8) | - |
| dc.date.available | 31-Mar-2014 15:43:07 (UTC+8) | - |
| dc.date.issued (上傳時間) | 31-Mar-2014 15:43:07 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/65019 | - |
| dc.description.abstract (摘要) | We provide closed-form solutions for a continuous time, Markov-modulated jump diffusion model in a general equilibrium framework for options prices under a variety of jump diffusion specifications. We further demonstrate that the two-state model provides the leptokurtic return features, volatility smile, and volatility clustering observed empirically for the Dow Jones Industrial Average (DJIA) and its component stocks. Using 10 years of stock return data, we confirm the existence of jump intensity switching and clustering, illustrate transition probabilities, and verify superior empirical fit over competing Poisson-style models. | en_US |
| dc.format.extent | 931958 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Journla of Banking and Finance,37(8), 3204-3217 | en_US |
| dc.subject (關鍵詞) | Markov-modulated; Jump diffusion; Volatility clustering; Jump clustering; Volatility smile; | en_US |
| dc.title (題名) | A Tale of Two Regimes: Theory and Empirical Evidence for a Markov-Modulated Jump Diffusion Model of Equity Returns and Derivative Pricing Implications | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/j.jbankfin.2013.03.009 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/http://dx.doi.org/10.1016/j.jbankfin.2013.03.009 | en_US |
