以GARCH-Jump模型評價障礙型選擇權

Abstract

本篇論文是根據段教授2005年的論文,在評價核心加上跳躍，以及同一時間在資產的報酬以及波動度的相關跳躍來評價障礙型的選擇權。 既然障礙型選擇權是和資產的走勢有關，在資產上加上跳躍的影響必然會對於障礙型選擇權有所影響。因此，本篇論文探討此一現象並且去比較段教授所推導出來的論文在評價障礙型選擇權上的表現。

This paper follows Duan et al. (2005 Jumping Starting GARCH) that incorporating jumps in pricing kernel and correlated jumps in asset returns and volatilities. Since barrier options is a path dependent derivatives, incorporating jumps in the underlying assets should have some effects in it. Therefore, we investigate this issue in this paper, and we’ll compare those models pricing performance.