Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/62915 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorChourdakis, Kyriakosen
dc.date.accessioned2012-09-20T13:01:57Z-
dc.date.available2012-09-20T13:01:57Z-
dc.date.issued2002-
dc.identifier.urihttp://hdl.handle.net/10419/62915-
dc.description.abstractA 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.en
dc.language.isoengen
dc.publisher|aQueen Mary University of London, Department of Economics |cLondonen
dc.relation.ispartofseries|aWorking Paper |x464en
dc.subject.jelG10en
dc.subject.jelG13en
dc.subject.jelC22en
dc.subject.ddc330en
dc.subject.keywordContinuous time regime switching, Stochastic volatility jump diffusion, Option pricing, Filteringen
dc.subject.stwStochastischer Prozessen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwOptionspreistheorieen
dc.titleContinuous time regime switching models and applications in estimating processes with stochastic volatility and jumps-
dc.typeWorking Paperen
dc.identifier.ppn377019186en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

Datei(en):
Datei
Größe
400.92 kB





Publikationen in EconStor sind urheberrechtlich geschützt.