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- W2277211523 abstract "Although the Black-Scholes (BS) model and itsalternatives have been widely applied in finance, their flaws havedrawn the attention of many investors and risk managers. TheBlack-Scholes (BS) model fails to explain the volatility smile. Itsalternatives, such as the BS model with a Poisson jump process,fail to explain the volatility clustering. Based on the literature,a novel dynamic regime-switching option-pricing model is developedin this thesis, to overcome the flaws of the traditional optionpricing models. Five macroeconomic indicators are identified as thedrivers of economic states over time. Two regimes are selectedamong all likely numbers of regimes under the Bayes InformationCriterion (BIC). Both in-sample and out-of-sample tests areconstructed to examine the prediction of the model. Empiricalresults show that the two-state regime-switching option-pricingmodel exhibits significant prediction power." @default.
- W2277211523 created "2016-06-24" @default.
- W2277211523 creator A5083090411 @default.
- W2277211523 date "2013-08-26" @default.
- W2277211523 modified "2023-09-27" @default.
- W2277211523 title "An Option Pricing Model with Regime-Switching Economic Indicators" @default.
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