کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1140281 1489434 2008 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Jump diffusion model with application to the Japanese stock market
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
Jump diffusion model with application to the Japanese stock market
چکیده انگلیسی

In this paper we demonstrate that a jump diffusion model is better fitted to Japanese stock data in the Nikkei 225 than the classical Black–Scholes (BS) model. In order to check the existence of jumps, we implement the bipower test by Barndorff-Nielsen and Shephard [O.E. Barndorff-Nielsen, N. Shephard, Econometrics of testing for jumps in financial economics using bipower variation, Unpublished discussion paper, Nuffield College, Oxford, 2004], which reveals that Japanese stock data has jumps. For modeling the data, we choose Kou’s [S.G. Kou, A jump diffusion model for option pricing, Manage. Sci. 48 (2002) 1086–1101] model for its tractability and rich theoretical implications. We compare the option prices obtained from Kou’s and BS’ models with real market prices. The comparison study confirms that Kou’s model outperforms the BS model.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematics and Computers in Simulation - Volume 78, Issues 2–3, July 2008, Pages 223–236
نویسندگان
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