Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/105590
|
| Title: | G-10國家匯率動態過程與選擇權評價：馬可夫調控模型之實證
Dynamic Analyzing and Option Pricing of G-10 Exchange Rates:Empirical Results in Markov-Modulated Models |
| Authors: | 吳安琪 |
| Contributors: | 林士貴
Lin, Shih-Kuei
吳安琪 |
| Keywords: | 匯率波動
跳躍風險
狀態相依
馬可夫調控過程
外匯選擇權評價
Exchange rate volatility
Jump risk
State-dependence
Markov-modulated
Currency option pricing |
| Date: | 2016 |
| Issue Date: | 2017-01-04 11:55:53 (UTC+8) |
| Abstract: | 本論文主要目的在探討外匯市場跳躍風險的動態過程，並應用於外匯選擇權評價上。其考量跳躍風險具狀態相依的馬可夫調控的跳躍擴散（MS-MJ）模型，使市場狀態不僅連結報酬波動程度，亦與跳躍大小和跳躍頻率相關，作為捕捉匯率週期性的轉換和異常衝擊下的跳躍特性。本研究以G-10國家貨幣（歐元，英鎊，日圓，加拿大幣，瑞士法郎，澳幣，紐西蘭幣，挪威克朗和瑞典克朗）兌美元的匯率資料作為研究對象，實證結果發現，G-10國家匯率受景氣週期和狀態相關的跳躍風險特性。此外，本研究實證結果顯示，其在大多數G-10國家的外匯市場的動態過程中，MS-MJ模型能相對其他模型適合觀察其狀態轉換下跳躍相依的特性，並能提高大部分G-10國家外匯選擇權在價平定價的有效性。總合而言，納入市場狀態於波動性和跳躍風險能有助於提高模型的配適性和選擇權評價的資訊掌握。
This thesis aims to investigate the dynamic process of currency jump risks and applies it to pricing currency options. We explore a Markov-modulated jump diffusion model with state-dependent jump risks (MS-MJ model), which incorporates jump intensity and state-dependence to capture the characteristics of cyclical movements and abnormal shock. Comparing the G-10 currencies (EUR, GBP, JPY, CAD, CHF, AUD, NOK, NZD and SEK) against the USD, the empirical results found that the G-10 currencies are characterized by business cycles and state-dependent jump risks. Moreover, our findings suggest that incorporating state-dependence in jump risks can improve model fitting and option pricing. The sample observations show the MS-MJ model can be more suitable with most of the G-10 spot FX rates, and can improve the pricing performance on most of the G-10 currency options, in particular for at-the-money options. |
| Reference: | Ahn, C. M., Cho, D. C., and Park, K. (2007). The pricing of foreign currency options under jump‐diffusion processes. Journal of Futures Markets, 27(7), 669-695.
Akgiray, V. and Booth, G. (1988). Mixed diffusion-jump process modeling of exchange rate movements. Review of Economics and Statistics, 70(4), 631-637.
Andersen, T. G., Bollerslev, T., and Diebold, F. X. (2007). Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility. The review of economics and statistics, 89(4), 701-720.
Asmussen, S. (1989). Risk theory in a Markovian environment. Scandinavian Actuarial Journal, 1989(2), 69-100.
Asmussen, S., Frey, A., Rolski, T., and Schmidt, V. (1995). Does Markov-modulation increase the risk?. Astin Bulletin, 25(1), 49-66.
Bakshi, G., Cao, C., and Chen, Z. (1997). Empirical performance of alternative option pricing models. Journal of Finance, 52(5), 2003-2049.
Ball, C. A., and Roma, A. (1993). A jump diffusion model for the European Monetary System. Journal of International Money and Finance, 12(5), 475-492.
Bates, D. S. (1996a). Dollar jump fears, 1984–1992: distributional abnormalities implicit in currency futures options. Journal of International Money and Finance, 15(1), 65-93.
Bates, D. S. (1996b). Jumps and stochastic volatility: Exchange rate processes implicit in deutsche mark options. Review of Financial Studies, 9(1), 69-107.
Beckers, S. (1981). Standard deviations implied in option prices as predictors of future stock price variability. Journal of Banking and Finance, 5(3), 363-381.
Bergman, U. M., and Hansson, J. (2005). Real exchange rates and switching regimes. Journal of International Money and Finance, 24(1), 121-138.
Bo, L., Wang, Y., and Yang, X. (2010). Markov-modulated jump-diffusion for currency option pricing. Insurance: Mathematics and Economics, 46(3), 461-469.
Bollen, N. P., and Rasiel, E. (2003). The performance of alternative valuation models in the OTC currency options market. Journal of International Money and Finance, 22(1), 33-64.
Bollen, N. P., Gray, S. F., and Whaley, R. E. (2000). Regime switching in foreign exchange rates: Evidence from currency option prices. Journal of Econometrics, 94(1), 239-276.
Brand, C., Buncic, D., and Turunen, J. (2010). The impact of ECB monetary policy decisions and communication on the yield curve. Journal of the European Economic Association, 8(6), 1266-1298.
Cai, J. (1994). A Markov model of switching-regime ARCH. Journal of Business and Economic Statistics, 12(3), 309-316.
Caporale, G. M., and Spagnolo, N. (2004). Modelling East Asian exchange rates: a Markov-switching approach. Applied Financial Economics, 14(4), 233-242.
Carr, P., and Wu, L. (2007). Stochastic skew in currency options. Journal of Financial Economics, 86(1), 213-247.
Chang, C. C., Lin, S. K., and Yu, M. T. (2011). Valuation of Catastrophe Equity Puts With Markov‐Modulated Poisson Processes. Journal of Risk and Insurance, 78(2), 447-473.
Chang, C., Fuh, C. D., and Lin, S. K. (2013). A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications. Journal of Banking and Finance, 37(8), 3204-3217.
Chatrath, A., Miao, H., Ramchander, S., and Villupuram, S. (2014). Currency jumps, cojumps and the role of macro news. Journal of International Money and Finance, 40, 42-62.
Chen, C. and Sato, S. (2007). Jump-GARCH models and jump dynamics in financial asset prices. Bulletin of the International Statistical Institute.
Chernov, M., Graveline, J. J., and Zviadadze, I. (2014). Crash risk in currency returns. Available at SSRN 2023440.
Cheung, Y. W., and Erlandsson, U. G. (2012). Exchange rates and Markov switching dynamics. Journal of Business and Economic Statistics, 8(1), 312-340.
Chiang, M. H., Li, C. Y., and Chen, S. N. (2016). Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy. Review of Quantitative Finance and Accounting, 46(3), 459-482.
Costabile, M., Leccadito, A., Massabó, I., and Russo, E. (2014). Option pricing under regime-switching jump–diffusion models. Journal of Computational and Applied Mathematics, 256, 152-167.
Dempster, A. P., Laird, N. M., and Rubin, D. B. (1977). Maximum likelihood from incomplete data via the EM algorithm (with discussion). Applied Statistics, 39(1), 1-38.
Duan, J. C., Popova, I., and Ritchken, P. (2002). Option pricing under regime switching. Quantitative Finance, 2(116-132), 1-17.
Dueker, M., and Neely, C. J. (2007). Can Markov switching models predict excess foreign exchange returns?. Journal of Banking and Finance, 31(2), 279-296.
Dumas, B., Fleming, J., and Whaley, R. E. (1998). Implied volatility functions: Empirical tests. The Journal of Finance, 53(6), 2059-2106.
Ekvall, N., Jennergren, L. P., and Näslund, B. (1997). Currency option pricing with mean reversion and uncovered interest parity: A revision of the Garman-Kohlhagen model. European Journal of Operational Research, 100(1), 41-59.
Elliott, R. J. and Siu, T. K. (2013). Option pricing and filtering with hidden Markov-modulated pure-jump processes. Applied Mathematical Finance, 20(1), 1-25.
Elliott, R. J., and Malcolm, W. P. (2008). Discrete-time expectation maximization algorithms for Markov-modulated Poisson processes. IEEE Transactions on Automatic Control, 53(1), 247-256.
Elliott, R. J., Chan, L. and Siu, T. K. (2005). Option pricing and Esscher transform under regime switching. Annals of Finance, 1(4), 423-432.
Elliott, R. J., Siu, T. K., and Chan, L. (2007). Pricing options under a generalized Markov-modulated jump-diffusion model. Stochastic Analysis and Application, 25(4), 821-843.
Engel, C. (1994). Can the Markov switching model forecast exchange rates? Journal of International Economics, 36(1-2), 151-165.
Engel, C., and Hakkio, C. S. (1996). The distribution of exchange rates in the EMS. International Journal of Finance and Economics, 1(1), 55-67.
Engel, C., and Hamilton, J. D. (1990). Long swings in the dollar: Are they in the data and do markets know it? American Economic Review, 689-713.
Erdemlioglu, D., Laurent, S., and Neely, C. J. (2012). Econometric modeling of exchange rate volatility and jumps. Federal Reserve Bank of St. Louis Working Paper No. 2012-008A.
Escher, F. (1932). On the probability function in the collective theory of risk. Skand. Aktuarie Tidskr., 15, 175-195.
Evans, K. P. (2011). Intraday jumps and US macroeconomic news announcements. Journal of Banking and Finance, 35(10), 2511-2527.
Feinstone, L. J. (1987). Minute by minute: Efficiency, normality, and randomness in intra‐daily asset prices. Journal of Applied Econometrics, 2(3), 193-214.
Figlewski, S. (1989). Options arbitrage in imperfect markets. The Journal of Finance, 44(5), 1289-1311.
Garman M. B. and S. W. Kohlhagen (1983). Foreign currency option values. Journal of International Money and Finance, 2, December, 231-237.
Gerber, H. U., and Shiu, E. S. (1994). Option pricing by Esscher transforms. Transactions of the Society of Actuaries, 46(99), 140.
Hamilton, J. D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica: Journal of the Econometric Society, 357-384.
Hsu, Y. L., Lin, S. K., Hung, M. C., and Huang, T. H. (2016). Empirical analysis of stock indices under a regime-switching model with dependent jump size risks. Economic Modelling, 54, 260-275.
Ismail, M. T., and Isa, Z. (2007). Detecting regime shifts in Malaysian exchange rates. Malaysian Journal of Fundamental and Applied Sciences, 3(2), 211-224.
Jarrow, R. A., and Rosenfeld, E. R. (1984). Jump risks and the intertemporal capital asset pricing model. Journal of Business, 337-351.
Jorion, P. (1988). On jump processes in the foreign exchange and stock markets. Review of Financial Studies, 1(4), 427-445.
Kirikos, D. G. (2000). Forecasting exchange rates out of sample: random walk vs Markov switching regimes. Applied Economics Letters, 7(2), 133-136.
Kou, S. G. (2002). A jump-diffusion model for option pricing. Management Science, 48(8), 1086-1101.
Lange, K. (1995). A gradient algorithm locally equivalent to the EM algorithm. Journal of the Royal Statistical Society. Series B (Methodological), 425-437.
Last, G., and Brandt, A. (1995). Marked Point Processes on the real line: the dynamical approach. Springer Science and Business Media.
Lee, S. S. (2012). Jumps and information flow in financial markets. Review of Financial Studies, 25(2), 439-479.
Leroux, B. G., and Puterman, M. L. (1992). Maximum-penalized-likelihood estimation for independent and Markov-dependent mixture models. Biometrics, 545-558.
Li, J., and Liu, H. (2015). Optimal investment for the insurers in Markov-modulated jump-diffusion models. Computational Economics, 46(1), 143-156.
Lian, Y. M., Chen, J. H., and Liao, S. L. (2016). Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy. Finance Research Letters, 16, 208-219.
Lin S.K., Shyu, D., and Chang C.C. (2008). Pricing catastrophe insurance products in Markov jump diffusion models. Journal of Financial Studies, 16(2). 1-34.
Lin, C. H., Lin, S. K., and Wu, A. C. (2015). Foreign exchange option pricing in the currency cycle with jump risks. Review of Quantitative Finance and Accounting, 44(4), 755-789.
Lin, S. K., Lian, Y. M., and Liao, S. L. (2014). Pricing gold options under Markov-modulated jump-diffusion processes. Applied Financial Economics, 24(12), 825-836.
Lin, S. K., Lin, C. H., Chuang, M. C., and Chou, C. Y. (2014). A recursive formula for a participating contract embedding a surrender option under regime-switching model with jump risks: Evidence from stock indices. Economic modelling, 38, 341-350.
Maheu, J. M., and McCurdy, T. H. (2004). News arrival, jump dynamics, and volatility components for individual stock returns. The Journal of Finance, 59(2), 755-793.
Maheu, J. M., and McCurdy, T. H. (2008). Modeling foreign exchange rates with jumps. Frontiers of Economics and Globalization, 3, 449-475.
Meng, H., and Siu, T. K. (2014). Risk-based asset allocation under Markov-modulated pure jump processes. Stochastic Analysis and Applications, 32(2), 191-206.
Merton, R. C. (1976). Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3(1-2), 125-144.
Neely, C. J. (2011). A Survey of Announcement Effects on Foreign Exchange Volatility and Jumps (Digest Summary). Federal Reserve Bank of St. Louis Review, 93(5), 361-407.
Nieuwland, F. G., Verschoor, W. F., and Wolff, C. C. (1994). Stochastic trends and jumps in EMS exchange rates. Journal of International Money and Finance, 13(6), 699-727.
Novotný, J., Petrov, D., and Urga, G. (2015). Trading price jump clusters in foreign exchange markets. Journal of Financial Markets, 24, 66-92.
Rabiner, L. R. (1989). A tutorial on hidden Markov models and selected applications in speech recognition. Proceedings of the IEEE, 77(2), 257-286.
Siu, T. K., Yang, H., and Lau, J. W. (2008). Pricing currency options under two-factor Markov-modulated stochastic volatility models. Insurance: Mathematics and Economics, 43(3), 295-302.
Su, X., Wang, W., and Hwang, K. S. (2012). Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility. Statistics and Probability Letters, 82(10), 1777-1785.
Swishchuk, A., Tertychnyi, M., and Elliott, R. (2014). Pricing currency derivatives with Markov-modulated Lévy dynamics. Insurance: Mathematics and Economics, 57, 67-76.
Wang, W., and Wang, W. (2010). Pricing vulnerable options under a Markov-modulated regime switching model. Communications in Statistics-Theory and Methods, 39(19), 3421-3433.
Xiao, W. L., Zhang, W. G., Zhang, X. L., and Wang, Y. L. (2010). Pricing currency options in a fractional Brownian motion with jumps. Economic Modelling, 27(5), 935-942.
Xing, Y., and Yang, X. (2015). Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility. Journal of Computational and Applied Mathematics, 280, 231-247.
Yuen, F. L., and Yang, H. (2009). Option pricing in a jump-diffusion model with regime switching. Astin Bulletin, 39(2), 515-539.
Zhang, X., Elliott, R. J., and Siu, T. K. (2012). A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance. SIAM Journal on Control and Optimization, 50(2), 964-990.
Zhong, Y., Bao, Q., and Li, S. (2015). FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility. Applied Mathematics and Computation, 251, 1-13. |
| Description: | 博士
國立政治大學
金融學系
97352509 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0973525091 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| index.html | 0Kb | HTML2 | 770 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
