Pricing Barrier Options under GARCH-Jump Model

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...

Full description

Bibliographic Details
Main Authors: Yi-Tsun Lai, 賴以尊
Other Authors: Hui-Min Chung
Format: Others
Language:en_US
Published: 2007
Online Access:http://ndltd.ncl.edu.tw/handle/31870133875749905215
id ndltd-TW-095NCTU5304012
record_format oai_dc
spelling ndltd-TW-095NCTU53040122015-10-13T13:56:24Z http://ndltd.ncl.edu.tw/handle/31870133875749905215 Pricing Barrier Options under GARCH-Jump Model 以GARCH-Jump模型評價障礙型選擇權 Yi-Tsun Lai 賴以尊 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. Hui-Min Chung Jane-Raung Lin 鍾惠民 林建榮 2007 學位論文 ; thesis 33 en_US
collection NDLTD
language en_US
format Others
sources NDLTD
description 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.
author2 Hui-Min Chung
author_facet Hui-Min Chung
Yi-Tsun Lai
賴以尊
author Yi-Tsun Lai
賴以尊
spellingShingle Yi-Tsun Lai
賴以尊
Pricing Barrier Options under GARCH-Jump Model
author_sort Yi-Tsun Lai
title Pricing Barrier Options under GARCH-Jump Model
title_short Pricing Barrier Options under GARCH-Jump Model
title_full Pricing Barrier Options under GARCH-Jump Model
title_fullStr Pricing Barrier Options under GARCH-Jump Model
title_full_unstemmed Pricing Barrier Options under GARCH-Jump Model
title_sort pricing barrier options under garch-jump model
publishDate 2007
url http://ndltd.ncl.edu.tw/handle/31870133875749905215
work_keys_str_mv AT yitsunlai pricingbarrieroptionsundergarchjumpmodel
AT làiyǐzūn pricingbarrieroptionsundergarchjumpmodel
AT yitsunlai yǐgarchjumpmóxíngpíngjiàzhàngàixíngxuǎnzéquán
AT làiyǐzūn yǐgarchjumpmóxíngpíngjiàzhàngàixíngxuǎnzéquán
_version_ 1717746143158337536

Similar Items