Format:
1 Online-Ressource (22 p)
Series Statement:
Frontiers in Finance and Economics Vol. 10, No. 2, 63-84 (2013)
Content:
This paper is aimed to develop an equilibrium model in a stochastic economy populated by identical, competitive, and risk-averse consumers (investors), to value a European call option on stock whose price is subject to extreme and unexpected jumps. It is assumed that the underlying asset price is driven by a mixed jump-diffusion process with the jump size following an extreme value type distribution. The option price is characterized by a differential-integral equation with boundary conditions; an analytical solution for such a characterization is provided. Finally, a Monte Carlo simulation, with market daily data, is carried out to obtain numerical approximations of call options on the Dow Jones Industrial Average Index during the period 2009-2010
Note:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 1, 2013 erstellt
Language:
English
Bookmarklink