Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62002
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dc.contributor.authorLin, Zuodongen_US
dc.contributor.authorRachev, Svetlozar T.en_US
dc.contributor.authorKim, Young Shinen_US
dc.contributor.authorFabozzi, Frank J.en_US
dc.date.accessioned2012-08-17en_US
dc.date.accessioned2012-08-31T14:17:41Z-
dc.date.available2012-08-31T14:17:41Z-
dc.date.issued2012en_US
dc.identifier.piurn:nbn:de:swb:90-293026-
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_US
dc.language.isoengen_US
dc.publisher|aKIT |cKarlsruheen_US
dc.relation.ispartofseries|aWorking Paper Series in Economics, Karlsruher Institut für Technologie (KIT) |x43en_US
dc.subject.ddc330en_US
dc.titleOption pricing with regime switching tempered stable processesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn721568181en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:kitwps:43-

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