کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7376560 | 1480082 | 2018 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Estimation and prediction under local volatility jump-diffusion model
ترجمه فارسی عنوان
برآورد و پیش بینی زیر مدل پرش آزادسازی نوسان محلی
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
چکیده انگلیسی
Volatility is an important factor in operating a company and managing risk. In the portfolio optimization and risk hedging using the option, the value of the option is evaluated using the volatility model. Various attempts have been made to predict option value. Recent studies have shown that stochastic volatility models and jump-diffusion models reflect stock price movements accurately. However, these models have practical limitations. Combining them with the local volatility model, which is widely used among practitioners, may lead to better performance. In this study, we propose a more effective and efficient method of estimating option prices by combining the local volatility model with the jump-diffusion model and apply it using both artificial and actual market data to evaluate its performance. The calibration process for estimating the jump parameters and local volatility surfaces is divided into three stages. We apply the local volatility model, stochastic volatility model, and local volatility jump-diffusion model estimated by the proposed method to KOSPI 200 index option pricing. The proposed method displays good estimation and prediction performance.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 491, 1 February 2018, Pages 729-740
Journal: Physica A: Statistical Mechanics and its Applications - Volume 491, 1 February 2018, Pages 729-740
نویسندگان
Namhyoung Kim, Younhee Lee,