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Option pricing with pure jump models.

Liu, Wei.

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Option pricing with pure jump models.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Option pricing with pure jump models./
Author:	Liu, Wei.
Description:	177 p.
Notes:	Source: Dissertation Abstracts International, Volume: 63-12, Section: A, page: 4398.
Contained By:	Dissertation Abstracts International63-12A.
Subject:	Economics, General. -
Online resource:	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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020 $a 0493935290
035 $a (UnM)AAI3073591
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040 $a UnM $c UnM
100 1 $a Liu, Wei. $3 1260300
245 1 0 $a Option pricing with pure jump models.
300 $a 177 p.
500 $a Source: Dissertation Abstracts International, Volume: 63-12, Section: A, page: 4398.
500 $a Adviser: Thomas Wake Epps.
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.
590 $a School code: 0246.
650 4 $a Economics, General. $3 1017424
690 $a 0501
710 2 0 $a University of Virginia. $3 645578
773 0 $t Dissertation Abstracts International $g 63-12A.
790 1 0 $a Epps, Thomas Wake, $e advisor
790 $a 0246
791 $a Ph.D.
792 $a 2003
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3073591