Pricing Barrier Options under GARCH-Jump Model
碩士 === 國立交通大學 === 財務金融研究所 === 95 === This paper follows Duan et al. (2005 Jumping Starting GARCH) that incorporating jumps in pricing kernel and correlated jumps in asset returns and volatilities. Since barrier options is a path dependent derivatives, incorporating jumps in the underlying assets sho...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/31870133875749905215 |
| Summary: | 碩士 === 國立交通大學 === 財務金融研究所 === 95 === This paper follows Duan et al. (2005 Jumping Starting GARCH) that incorporating jumps in pricing kernel and correlated jumps in asset returns and volatilities. Since barrier options is a path dependent derivatives, incorporating jumps in the underlying assets should have some effects in it. Therefore, we investigate this issue in this paper, and we’ll compare those models pricing performance.
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