National Changhua University of Education Institutional Repository : Item 987654321/17077

English | 正體中文 | 简体中文 | Items with full text/Total items : 6507/11669
Visitors : 30052673 Online Users : 665

RC Version 3.2 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Scope Adv. Search

Login ‧ Upload ‧ Help ‧ About ‧ Administer

NCUEIR > College of Management > Department of Business Administration > Periodical Articles > Item 987654321/17077

Please use this identifier to cite or link to this item: http://ir.ncue.edu.tw/ir/handle/987654321/17077

Title:	Option Pricing under Copula-Based Asymmetric Dynamic Leverage Effects
Authors:	Huang, Lin-Ying;Huang, Shian-Chang
Contributors:	企業管理學系
Keywords:	Dynamic dependence structure;Dynamic copula functions;Stochastic volatility;Dynamic leverage effects;Monte Carlo simulations
Date:	2010-09
Issue Date:	2013-07-11T09:04:55Z
Publisher:	Taru Publications
Abstract:	The paper investigates the problem of option pricing under generalized stochastic volatility models, in which a dynamic leverage effect is considered. We model the leverage effect by a asymmetric dynamic copula function, in which the Kendall’s tau is modeled in a autoregressive form to capture the persistence in dependence. By facilitating the most flexible dependence structure in this way, the option value is obtained by monte carlo simulations, and compared to results from traditional stochastic volatility models.
Relation:	Journal of Information and Optimization Sciences, 31(5): 1041-1059
Appears in Collections:	[Department of Business Administration] Periodical Articles

Files in This Item:

File	Size	Format
index.html	0Kb	HTML	675	View/Open