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政大典藏 > College of Commerce > Department of Money and Banking > Periodical Articles > Item 140.119/65019

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/65019

Title:	A Tale of Two Regimes: Theory and Empirical Evidence for a Markov-Modulated Jump Diffusion Model of Equity Returns and Derivative Pricing Implications
Authors:	Chang, Charles;Fuh, Cheng-Der;Lin, Shih-Kuei 林士貴
Contributors:	金融系
Keywords:	Markov-modulated;Jump diffusion;Volatility clustering;Jump clustering;Volatility smile
Date:	2013.08
Issue Date:	2014-03-31 15:43:07 (UTC+8)
Abstract:	We provide closed-form solutions for a continuous time, Markov-modulated jump diffusion model in a general equilibrium framework for options prices under a variety of jump diffusion specifications. We further demonstrate that the two-state model provides the leptokurtic return features, volatility smile, and volatility clustering observed empirically for the Dow Jones Industrial Average (DJIA) and its component stocks. Using 10 years of stock return data, we confirm the existence of jump intensity switching and clustering, illustrate transition probabilities, and verify superior empirical fit over competing Poisson-style models.
Relation:	Journla of Banking and Finance,37(8), 3204-3217
Data Type:	article
DOI link:	http://dx.doi.org/http://dx.doi.org/10.1016/j.jbankfin.2013.03.009
DOI:	10.1016/j.jbankfin.2013.03.009
Appears in Collections:	[Department of Money and Banking] Periodical Articles

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