State-dependent jump risks for American gold futures option pricing

The North American Journal of Economics and Finance(2015)

引用 12|浏览13
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摘要
•We model the gold futures price through a regime-switching jump-diffusion model.•The model captures the leptokurtic returns, jump intensity switching and clustering.•The risk-neutral gold futures price dynamics are derived under different jump risks.•We evaluate American gold futures options using the least-squares Monte Carlo method.•Empirical results show the importance of incorporating state-dependent jump risks.
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关键词
C13,C15,G12,G13
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