| dc.contributor | 財管系 | |
| dc.creator (作者) | Yen, Simon;Wang, Jai Jen | |
| dc.creator (作者) | 顏錫銘 | zh_TW |
| dc.date (日期) | 2009-09 | |
| dc.date.accessioned | 24-Aug-2015 12:06:45 (UTC+8) | - |
| dc.date.available | 24-Aug-2015 12:06:45 (UTC+8) | - |
| dc.date.issued (上傳時間) | 24-Aug-2015 12:06:45 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/77953 | - |
| dc.description.abstract (摘要) | This study follows Clark [P.K. Clark, A subordinated stochastic process model with finite variance for speculative prices, Econometrica 41 (1973) 135–155] and Chang, Chang and Lim [C.W. Chang, S.K. Chang, K.G. Lim, Information-time option pricing: Theory and empirical evidence, Journal of Financial Economics 48 (1998) 211–242] to subordinate an information-time based directing process into calendar-time based parent processes. A closed-form futures pricing formula is derived after taking into account the information-time setting and the stochasticity of the spot price, interest rate, and convenience yield. According to the empirical results on the TAIEX and TFETX data from 1998/7/21 to 2003/12/31, the information-time based model performs better than its calendar-time based counterpart and the cost of carry model, especially when the information arrival intensity estimates become larger. | |
| dc.format.extent | 576798 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Physica A: Statistical Mechanics and its Applications, 388(18), 3826-3836 | |
| dc.subject (關鍵詞) | The cost of carry model;Information time;Intertemporal futures pricing | |
| dc.title (題名) | Information-time based futures pricing | |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/j.physa.2009.05.031 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.physa.2009.05.031 | |
