Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes
Download or Read eBook Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes PDF written by Jing-Zhi Huang and published by . This book was released on 2008 with total page 48 pages. Available in PDF, EPUB and Kindle.
Author | : Jing-Zhi Huang |
Publisher | : |
Total Pages | : 48 |
Release | : 2008 |
ISBN-10 | : OCLC:1290844757 |
ISBN-13 | : |
Rating | : 4/5 (57 Downloads) |
Book Synopsis Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes by : Jing-Zhi Huang
Book excerpt: We analyze the specifications of option pricing models based on time-changed Levy processes. We classify option pricing models based on the sucture of the jump component in the underlying return process, the source of stochastic volatility, and the specification of the volatility process itself. Our estimation of a variety of model specifications indicates that to better capture the behavior of the Samp;P 500 index options, we must incorporate a high frequency jump component in the return process and generate stochastic volatilities from two different sources, the jump component and the diffusion component.