https://scholars.lib.ntu.edu.tw/handle/123456789/414917
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.author | Wang Y.-H. | en_US |
dc.creator | Wang Y.-H. | - |
dc.date.accessioned | 2019-07-24T02:42:57Z | - |
dc.date.available | 2019-07-24T02:42:57Z | - |
dc.date.issued | 2009 | - |
dc.identifier.issn | 10741240 | - |
dc.identifier.uri | https://scholars.lib.ntu.edu.tw/handle/123456789/414917 | - |
dc.description.abstract | 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. | - |
dc.language | English | - |
dc.relation.ispartof | Journal of Derivatives | - |
dc.title | The impact of jump dynamics on the predictive power of option-implied densities | en_US |
dc.type | journal article | en |
dc.identifier.doi | 10.3905/JOD.2009.16.3.009 | - |
dc.identifier.scopus | 2-s2.0-77955917690 | - |
dc.identifier.url | https://www.scopus.com/inward/record.uri?eid=2-s2.0-77955917690&doi=10.3905%2fJOD.2009.16.3.009&partnerID=40&md5=26a0082d8f56dfffa1f4e0e10ef2f567 | - |
dc.relation.pages | 9-22 | - |
dc.relation.journalvolume | 16 | - |
dc.relation.journalissue | 3 | - |
item.cerifentitytype | Publications | - |
item.fulltext | no fulltext | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.openairetype | journal article | - |
item.grantfulltext | none | - |
顯示於: | 財務金融學系 |
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