https://scholars.lib.ntu.edu.tw/handle/123456789/414917
標題: | The impact of jump dynamics on the predictive power of option-implied densities | 作者: | Wang Y.-H. | 公開日期: | 2009 | 卷: | 16 | 期: | 3 | 起(迄)頁: | 9-22 | 來源出版物: | Journal of Derivatives | 摘要: | This article examines whether incorporating jumps with stochastic volatility can improve the predictive power of option-implied densities of the FTSE 100 index. A general double-jump model is used to jit the market prices o f options and to estimate "risk-neutral" densities. "Real-world" densities are then converted from their risk-neutral form by means of alternative statistical calibrations. Both the risk-neutral and real-world densities are evaluated over jive forecast horizons using two different tests. The empirical results indicate that adding jumps into the price and/or volatility processes not only substantially lowers the fitting errors of option prices, but also improves the predictive power of risk-neutral densities. Furthermore, satisfactory density prediction was consistently provided by the real-world densities, which were not dependent on the addition of jumps, the approach used to construct the densities, or the prediction horizon. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414917 | ISSN: | 10741240 | DOI: | 10.3905/JOD.2009.16.3.009 |
顯示於: | 財務金融學系 |
在 IR 系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。