Publications-Periodical Articles
Article View/Open
Publication Export
Google ScholarTM
NCCU Library
Citation Infomation
Related Publications in TAIR
| Title | State-dependent jump risks for American gold futures option pricing |
| Creator | 廖四郎 Lian, Yu-Min;Liao, Szu-Lang;Chen, Jun-Home |
| Contributor | 金融系 |
| Key Words | State-dependent jump risk; American gold futures option; Merton measure; Esscher transform; Least-squares Monte Carlo method |
| Date | 2015-07 |
| Date Issued | 14-Mar-2016 16:01:03 (UTC+8) |
| Summary | In this study, we investigate the valuation of American-style options when the underlying gold futures price follows a pure diffusion structure with state-dependent jump dynamics. Under such dynamics, the jump events are described as a compound Poisson process with a log-normal jump amplitude, and the regime-switching arrival intensity is captured by a hidden Markov chain whose states represent the economic states. Considering the different jump risk assumptions, we use the Merton measure and Esscher transform to derive risk-neutral gold futures price dynamics under an incomplete market setting. To achieve a desired accuracy level, the least-squares Monte Carlo method is used to approximate the values of American gold futures options. Our empirical and numerical results based on actual market data are provided to illustrate the importance of incorporating state-dependent jump risks when pricing American put options on gold futures. |
| Relation | The North American Journal of Economics and Finance,33,115-133 |
| Type | article |
| DOI | http://dx.doi.org/10.1016/j.najef.2015.04.001 |
| dc.contributor | 金融系 | |
| dc.creator (作者) | 廖四郎 | zh_TW |
| dc.creator (作者) | Lian, Yu-Min;Liao, Szu-Lang;Chen, Jun-Home | |
| dc.date (日期) | 2015-07 | |
| dc.date.accessioned | 14-Mar-2016 16:01:03 (UTC+8) | - |
| dc.date.available | 14-Mar-2016 16:01:03 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Mar-2016 16:01:03 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/82599 | - |
| dc.description.abstract (摘要) | In this study, we investigate the valuation of American-style options when the underlying gold futures price follows a pure diffusion structure with state-dependent jump dynamics. Under such dynamics, the jump events are described as a compound Poisson process with a log-normal jump amplitude, and the regime-switching arrival intensity is captured by a hidden Markov chain whose states represent the economic states. Considering the different jump risk assumptions, we use the Merton measure and Esscher transform to derive risk-neutral gold futures price dynamics under an incomplete market setting. To achieve a desired accuracy level, the least-squares Monte Carlo method is used to approximate the values of American gold futures options. Our empirical and numerical results based on actual market data are provided to illustrate the importance of incorporating state-dependent jump risks when pricing American put options on gold futures. | |
| dc.format.extent | 794911 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | The North American Journal of Economics and Finance,33,115-133 | |
| dc.subject (關鍵詞) | State-dependent jump risk; American gold futures option; Merton measure; Esscher transform; Least-squares Monte Carlo method | |
| dc.title (題名) | State-dependent jump risks for American gold futures option pricing | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1016/j.najef.2015.04.001 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.najef.2015.04.001 | en_US |