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dc.contributor.authorLin, Zuodongen
dc.contributor.authorRachev, Svetlozar T.en
dc.contributor.authorKim, Young Shinen
dc.contributor.authorFabozzi, Frank J.en
dc.date.accessioned2012-08-17-
dc.date.accessioned2012-08-31T14:17:41Z-
dc.date.available2012-08-31T14:17:41Z-
dc.date.issued2012-
dc.identifier.piurn:nbn:de:swb:90-293026en
dc.identifier.pidoi:10.5445/IR/1000029302en
dc.identifier.urihttp://hdl.handle.net/10419/62002-
dc.description.abstractIn 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
dc.language.isoengen
dc.publisher|aKarlsruher Institut für Technologie (KIT), Institut für Volkswirtschaftslehre (ECON) |cKarlsruheen
dc.relation.ispartofseries|aKIT Working Paper Series in Economics |x43en
dc.subject.ddc330en
dc.titleOption pricing with regime switching tempered stable processes-
dc.typeWorking Paperen
dc.identifier.ppn721568181en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:kitwps:43en

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