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

機構典藏 > College of Business and Management > Graduate Institute & Department of International Business > Monograph > Item 987654321/119468

Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/119468

Title:	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
Other Titles:	Dynamic Analyzing and Option Pricing of G-10 Exchange Rates:Empirical Results in Markov-Modulated Models
Authors:	吳安琪
Keywords:	Exchange rate volatility;Jump risk;State-dependence;Markov-modulated;Currency option pricing
Date:	2016-10
Issue Date:	2020-10-29 12:10:49 (UTC+8)
Abstract:	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.
Appears in Collections:	[Graduate Institute & Department of International Business] Monograph

Files in This Item:

File	Size	Format
index.html	0Kb	HTML	148	View/Open