The Role of Additional Information in Option Pricing: Estimation Issues for the State Space Model

NCU Institutional Repository > 理學院 > 統計研究所 > 期刊論文 > Item 987654321/51842

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: http://ir.lib.ncu.edu.tw/handle/987654321/51842

题名:	The Role of Additional Information in Option Pricing: Estimation Issues for the State Space Model
作者:	Wang,RH;Aston,JAD;Fuh,CD
贡献者:	統計研究所
关键词:	STOCHASTIC VOLATILITY MODELS;TIME-SERIES;JUMP;MARKETS;STOCK;BOND
日期:	2010
上传时间:	2012-03-27 19:07:29 (UTC+8)
出版者:	國立中央大學
摘要:	We consider two competing financial state space models and investigate whether additional information in the form of option price data is helpful to the estimation of either the unobservable state variable (volatility) or the unknown parameters in the model. The complete discussion of the estimation problem in the presence of additional information involves decisions about filtering methods, the quality of the new information, the correlation between state variables and out-of-sample forecast performance. It is found that the state variable estimation is more sensitive than the parameter estimation to the correlation, information quality and the assumed linearity or non-linearity of the underlying model. As a result of the investigation of these factors, the particle filter is shown to be an attractive method for computing posterior distributions for these models.
關聯:	COMPUTATIONAL ECONOMICS
显示于类别:	[統計研究所] 期刊論文

文件中的档案:

档案	描述	大小	格式	浏览次数
index.html		0Kb	HTML	386	检视/开启

在NCUIR中所有的数据项都受到原著作权保护.

社群 sharing