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    题名: 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
    其它题名: Dynamic Analyzing and Option Pricing of G-10 Exchange Rates:Empirical Results in Markov-Modulated Models
    作者: 吳安琪
    关键词: Exchange rate volatility;Jump risk;State-dependence;Markov-modulated;Currency option pricing
    日期: 2016-10
    上传时间: 2020-10-29 12:10:49 (UTC+8)
    摘要: 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.
    显示于类别:[國際企業學系暨研究所] 專書

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