Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/62915
Autor:innen: 
Erscheinungsjahr: 
2002
Schriftenreihe/Nr.: 
Working Paper No. 464
Verlag: 
Queen Mary University of London, Department of Economics, London
Zusammenfassung: 
A regime switching model in continuous time is introduced where a variety of jumps are allowed in addition to the diffusive component. The characteristic function of the process is derived in closed form, and is subsequently employed to create the likelihood function. In addition, standard results of the option pricing literature can be employed in order to compute derivative prices. To this end, the relationship between the physical and the risk adjusted probability measure is explored. The generic relationship between Markov chains and [jump] diffusions is also investigated, and it is shown that virtually any stochastic volatility model model can be approximated arbitrarily well by a carefully chosen continuous time Markov chain. Therefore, the approach presented here can be utilized in order to estimate, filter and carry out option pricing for such continuous state-space models, without the need for simulation based approximations. An empirical example illustrates these contributions of the paper, estimating a stochastic volatility jump diffusion model.
Schlagwörter: 
Continuous time regime switching, Stochastic volatility jump diffusion, Option pricing, Filtering
JEL: 
G10
G13
C22
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
400.92 kB





Publikationen in EconStor sind urheberrechtlich geschützt.