This paper describes the peak, fat tail, and skewness characteristics of asset price via a Lévy process. It applies asymmetric GARCH model to depict asset price’s random volatility characteristics and builds a GARCH-Lévy option pricing model with random jump characteristics. It also uses circular maximum likelihood estimation technology to improve the stability of model parameter estimation. In order to test the model’s pricing results, we use Hong Kong Hang Seng Index (HSI) price data and its option data to carry out empirical studies. Results prove that the pricing bias of EGARCH-Lévy model is lower than that of standard Heston-Nandi (HN) model in the financial industry. For short-term, middle-term, and long-term European-style options, the pricing error of EGARCH-Lévy model is the lowest.
from #AlexandrosSfakianakis via Alexandros G.Sfakianakis on Inoreader http://ift.tt/2qP24l1
via IFTTT
Εγγραφή σε:
Σχόλια ανάρτησης (Atom)
Δημοφιλείς αναρτήσεις
-
Publication date: Available online 4 January 2018 Source: European Journal of Radiology Author(s): Peiyao Zhang, Jing Wang, Qin Xu, Zhen...
-
Related Articles Anatomic parameters of the sacral lamina for osteosynthesis in transverse sacral fractures. Surg Radiol Anat....
-
Medicine by Alexandros G. Sfakianakis,Anapafseos 5... Medicine by Alexandros G. Sfakianakis,Anapafseos 5... Heralding change: The evolution ...
-
Background Hyperthyroidism is associated with increased thrombotic risk. As contact system activation through formation of neutrophil extrac...
-
BACKGROUND AND PURPOSE: Dengue is a common arboviral disease, which uncommonly involves the brain. There has been a recent surge in dengu...
-
Abstract Purpose Investigate in patients with metastatic and/or irresectable colorectal cancer treated with systemic treatment with cape...
-
Publication date: January 2017 Source: The Journal of Emergency Medicine, Volume 52, Issue 1 Author(s): Patricia Michelle Troxell Klingen...
-
In rural Kenya, traditional and faith healers provide an alternative pathway to health care, including mental health care. However, not much...
-
2016-12-10T02-17-59Z Source: Indo American Journal of Pharmaceutical Research R. Santosh Kumar*, T. Naga Satya Yagnesh. Solid dispersio...
Δεν υπάρχουν σχόλια:
Δημοσίευση σχολίου