| dc.contributor | 金融系 | en_US |
| dc.creator (作者) | 林士貴;連育民;廖四郎 | zh_TW |
| dc.creator (作者) | Lin,Shih-Kuei;Lian,Yu-Min;Liao,Szu-Lang | en_US |
| dc.date (日期) | 2014.04 | en_US |
| dc.date.accessioned | 9-十月-2014 16:45:53 (UTC+8) | - |
| dc.date.available | 9-十月-2014 16:45:53 (UTC+8) | - |
| dc.date.issued (上傳時間) | 9-十月-2014 16:45:53 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/70513 | - |
| dc.description.abstract (摘要) | In this study, we empirically investigate the properties of gold returns, and the European gold options are priced when the underlying gold price dynamics are driven by Markov-modulated jump-diffusion processes. Specifically, the jump events are captured by a compound Poisson process with a log-normal jump size, and the regime-switching intensity rate is governed by a continuous-time finite-state Markov chain. Under an incomplete market setting, we study the valuation of European gold options using the method of Esscher transform. The estimated results and numerical examples are provided. | en_US |
| dc.format.extent | 423453 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Applied Financial Economics,24(12),825-836 | en_US |
| dc.subject (關鍵詞) | gold price; European gold option; Markov-modulated jump-diffusion process; Esscher transform; C51; G12 | en_US |
| dc.title (題名) | Pricing gold options under Markov-modulated jump-diffusion processes | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1080/09603107.2014.914142 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1080/09603107.2014.914142 | en_US |
