Three Essays on Futures Pricing Allowing for Expectation Heterogeneity, Information Time, and Jump Risk

• Main Authors: Wang, Jai Jen, 王佳真
• Other Authors: Yen, Simon H.
• Format: Others
• Language: en_US
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/27720383912012868616

博士 === 國立政治大學 === 財務管理研究所 === 94 === The dissertation contains three essays on intertemporal futures pricing models allowing for heterogeneous expectations, information-time based setting, and jump risk. As Harrison and Kreps (1978) have noted, unless traders are all identical and obliged to hold a stock forever, speculation would not extinguish in market, and heterogeneity in expectations yields whereby. The first essay develops intertemporal futures pricing formulas accounting for such reality, adjustment effect, and stochastic interest rate in a partial-equilibrium sense. The closed-form solutions show that the three factors complicated with each others can help to explain some existing empirics on relationships between futures prices and other important market variables such as indeterminate converging pattern. The second essay extends Chang et al. (1988) option pricing model to derive futures prices with information-time based processes. Stochastic interest rate and convenience yield are also taken into account to derive closed-form formulas. According to empirical results of transaction data of TAIEX index and its corresponding TFETX futures contract through 1998/7/21 to 2003/12/31, the analytic solution performs better than the cost of carry model and its calendar-time based counterpart, especially when information arrival intensity estimates become larger. The last essay combines Hemler and Longstaff’s (1991) preference-free model and Merton’s (1976) jump setting to measure effects from jump risk and a futures pricing formula is derived in its closed-form as well. According to miscellaneous comparative static and simulation results, the bounded degrees of state variables, or economy, affect co-varying extents among variables, while the increasing jump risk, including the size of occurring probability and its corresponding impulse effect, makes them un-tractable.