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dc.contributor.advisor陈淼鑫
dc.contributor.author武晨
dc.date.accessioned2016-01-13T08:41:07Z
dc.date.available2016-01-13T08:41:07Z
dc.date.issued2013-07-05 10:39:07.0
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/77359
dc.description.abstract简单来说,资产价格的运动包含三种风险,价格波动、波动率的波动以及价格的跳跃。有许多实证研究表明这些都是资产价格运动的内在性质。但是尽管如此,人们对于期权定价模型中的资产价格的随机过程应该如何设定仍然存在分歧。长久以来人们一直认为跳跃与波动率是紧密相关的,于是就有学者设定跳跃强度是波动率的一个确定性的函数。但是,跳跃这样一个事件与资产价格的日常波动其实是存在很大差异的,因为跳跃是一个稀有的事件,简单的将跳跃纳入到波动率的框架中难免会造成问题。另一方面,当我们设定存在波动率随机或价格跳跃的情况下,市场不再是完全的,期权不再是冗余证券。不同于经典的布莱克斯科尔斯期权定价模型,这些没有办法对冲的风险带...
dc.description.abstractBriefly speaking, there are three types of asset price movements, price volatility, volatility of volatility, and price jumps. Many empirical studies have shown that these are the inherent nature of asset prices. But people differs on the point that in which way should the stochastic processes for asset prices be set up. For a long time, people have always thought that price jump and volatility ar...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=36777&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=38798
dc.subject波动率
dc.subject跳跃强度
dc.subject风险溢酬
dc.subjectVolatility
dc.subjectJump Intensity
dc.subjectRisk Premium
dc.title随机跳跃强度与期权隐含风险溢酬
dc.title.alternativeStochastic Jump Intensity and Option Implied Risk Premium
dc.typethesis
dc.date.replied2013-05-28
dc.description.note学位:经济学硕士
dc.description.note院系专业:经济学院_金融工程
dc.description.note学号:15620101151955


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