Jump diffusion model with application to the Japanese stock market
Jump diffusion model with application to the Japanese stock market
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DOI：
10.1016/j.matcom.2008.01.030
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发表时间：
2008-07
期刊：
影响因子：
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通讯作者：
K. Maekawa;Sangyeol Lee;Takayuki Morimoto;Ken-ichi Kawai
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文献类型：
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作者：
K. Maekawa;Sangyeol Lee;Takayuki Morimoto;Ken-ichi Kawai
在本文中，我们证明了一个跳跃扩散模型是更好地拟合日本股票数据在日经225比经典的布莱克-斯科尔斯（BS）模型。为了检验跳跃的存在性，我们实现了Barndorff-Nielsen和Shephard [O.E. Barndorff-Nielsen，N. Shephard，Econometrics of testing for jumps in financial economics using bipower variation，Unpublished discussion paper，Nuffield College，Oxford，2004]，其中揭示了日本股票数据存在跳跃。为了对数据进行建模，我们选择Kou的[S.G.郭文贵，期权定价的一个跳跃扩散模型，管理。Sci. 48（2002）1086-1101]模型的可操作性和丰富的理论内涵。我们比较了Kou和BS模型得到的期权价格与真实的市场价格。对比研究证实，寇的模型优于BS模型。
In this paper we demonstrate that a jump diffusion model is better fitted to Japanese stock data in the Nikkei 225 than the classical Black–Scholes (BS) model. In order to check the existence of jumps, we implement the bipower test by Barndorff-Nielsen and Shephard [O.E. Barndorff-Nielsen, N. Shephard, Econometrics of testing for jumps in financial economics using bipower variation, Unpublished discussion paper, Nuffield College, Oxford, 2004], which reveals that Japanese stock data has jumps. For modeling the data, we choose Kou’s [S.G. Kou, A jump diffusion model for option pricing, Manage. Sci. 48 (2002) 1086–1101] model for its tractability and rich theoretical implications. We compare the option prices obtained from Kou’s and BS’ models with real market prices. The comparison study confirms that Kou’s model outperforms the BS model.