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Option pricing with pure jump models.

Liu, Wei.

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Option pricing with pure jump models.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Option pricing with pure jump models./
作者:	Liu, Wei.
面頁冊數:	177 p.
附註:	Source: Dissertation Abstracts International, Volume: 63-12, Section: A, page: 4398.
Contained By:	Dissertation Abstracts International63-12A.
標題:	Economics, General. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3073591
ISBN:	0493935290

Option pricing with pure jump models.
Liu, Wei.

Option pricing with pure jump models. - 177 p.

Source: Dissertation Abstracts International, Volume: 63-12, Section: A, page: 4398.

Thesis (Ph.D.)--University of Virginia, 2003.

The goodness of fits of three pure jumps models is evaluated with option data. A generalized geometric-Poisson branching process based on Epps (1996) is first studied. This process directly incorporates the discreteness of prices by modeling stock prices as an integer-valued branching process in continuous time while it retains the main features of the standard models. The model is then estimated with option data under the risk-neutral measure by minimizing the sum of squared dollar pricing errors between the model prices and actual market prices. The performance of the model is then compared with the B-S model both in sample and out of sample. Empirical results suggest that the discreteness of stock price does contribute to the biases in the Black-Scholes model. The geometric-Poisson branching process tends to correct the moneyness bias. It also describes options with low-priced stocks better than options with high-priced stocks. Two alternative pure jump models---the hyperbolic and the variance gamma process---are also compared with the Black-Scholes and the geometric-Poisson branching process. The hyperbolic model behaves similar to the Black-Scholes model, while the variance-gamma model performs best among four models.

ISBN: 0493935290Subjects--Topical Terms:

1017424
Economics, General.

Option pricing with pure jump models.
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502 $a Thesis (Ph.D.)--University of Virginia, 2003.
520 $a The goodness of fits of three pure jumps models is evaluated with option data. A generalized geometric-Poisson branching process based on Epps (1996) is first studied. This process directly incorporates the discreteness of prices by modeling stock prices as an integer-valued branching process in continuous time while it retains the main features of the standard models. The model is then estimated with option data under the risk-neutral measure by minimizing the sum of squared dollar pricing errors between the model prices and actual market prices. The performance of the model is then compared with the B-S model both in sample and out of sample. Empirical results suggest that the discreteness of stock price does contribute to the biases in the Black-Scholes model. The geometric-Poisson branching process tends to correct the moneyness bias. It also describes options with low-priced stocks better than options with high-priced stocks. Two alternative pure jump models---the hyperbolic and the variance gamma process---are also compared with the Black-Scholes and the geometric-Poisson branching process. The hyperbolic model behaves similar to the Black-Scholes model, while the variance-gamma model performs best among four models.
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