A Study of Stochastic Volatility Models with Jump Risk and Option Valuation

Thesis

Wu, Yu-Yao

Masters, 國立清華大學, 統計學研究所

2017

Abstract

資產價格過程

萊維跳躍

波動率動態模型

定價核

選擇權定價

粒子濾波演算法

asset price process

Lévy jump

volatility dynamic

pricing kernel

option pricing

particle filtering

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Title: A Study of Stochastic Volatility Models with Jump Risk and Option Valuation
Translated title: A Study of Stochastic Volatility Models with Jump Risk and Option Valuation
Creators: Wu, Yu-Yao
Contributors: Tsai, Tzu-Hao (Advisor)
Hsieh, Wen-Ping (Advisor)
Awarding Institution: 國立清華大學, 統計學研究所; Masters
Theses and Dissertations: Masters, 國立清華大學, 統計學研究所
Language: English
Resource Type: Thesis
Date published: 2018