|
EconStor >
Karlsruher Institut für Technologie (KIT) >
Fakultät für Wirtschaftswissenschaften, Karlsruher Institut für Technologie (KIT) >
Working Paper Series in Economics, Karlsruher Institut für Technologie (KIT) >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/62002
|
| | |
Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Lin, Zuodong | | en_US |
| dc.contributor.author | | Rachev, Svetlozar T. | | en_US |
| dc.contributor.author | | Kim, Young Shin | | en_US |
| dc.contributor.author | | Fabozzi, Frank J. | | en_US |
| dc.date.accessioned | | 2012-08-17 | | en_US |
| dc.date.accessioned | | 2012-08-31T14:17:41Z | | - |
| dc.date.available | | 2012-08-31T14:17:41Z | | - |
| dc.date.issued | | 2012 | | en_US |
| dc.identifier.pi | | urn:nbn:de:swb:90-293026 | | - |
| dc.identifier.uri | | http://hdl.handle.net/10419/62002 | | - |
| dc.description.abstract | | In this paper we will introduce a hybrid option pricing model that combines the classical tempered stable model and regime switching by a hidden Markov chain. This model allows the description of some stylized phenomena about asset return distributions that are well documented in financial markets such as time-varying volatility, skewness, and heavy tails.We will derive the option pricing formula under the this model by means of Fourier transform method. In order to demonstrate the superior accuracy and the capacity of capturing dynamics using the proposed model, we will empirically test the model using call option prices where the underlying is the S&P 500 Index. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | KIT Karlsruhe | | en_US |
| dc.relation.ispartofseries | | Working Paper Series in Economics, Karlsruher Institut für Technologie (KIT) 43 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.title | | Option pricing with regime switching tempered stable processes | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 721568181 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| dc.identifier.repec | | RePEc:zbw:kitwps:43 | | - |
| Appears in Collections: | | Working Paper Series in Economics, Karlsruher Institut für Technologie (KIT)
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|