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Modeling the stock price process as ...

Sen, Rituparna.

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Modeling the stock price process as a continuous time jump process.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Modeling the stock price process as a continuous time jump process./
Author:	Sen, Rituparna.
Description:	100 p.
Notes:	Source: Dissertation Abstracts International, Volume: 65-06, Section: B, page: 2991.
Contained By:	Dissertation Abstracts International65-06B.
Subject:	Statistics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3136541
ISBN:	0496837396

Modeling the stock price process as a continuous time jump process.
Sen, Rituparna.

Modeling the stock price process as a continuous time jump process. - 100 p.

Source: Dissertation Abstracts International, Volume: 65-06, Section: B, page: 2991.

Thesis (Ph.D.)--The University of Chicago, 2004.

An important aspect of the stock price process, which has often been ignored in the financial literature, is that prices on organized exchanges are restricted to lie on a grid. We consider continuous-time models for the stock price process with random waiting times of jumps and discrete jump size. We consider a class of jump processes that are "close" to the Black-Scholes model in the sense that as the jump size goes to zero, the jump model converges to geometric Brownian motion. We study the changes in pricing and hedging caused by discretization. The convergence, estimation, discrete time approximation, and uniform integrability conditions for this model are studied. Upper and lower bounds on option prices are developed. We study the performance of the model with real data.

ISBN: 0496837396Subjects--Topical Terms:

517247
Statistics.

Modeling the stock price process as a continuous time jump process.
LDR:02171nmm 2200289 4500 001 1839182
005 20050629130844.5
008 130614s2004 eng d
020 $a 0496837396
035 $a (UnM)AAI3136541
035 $a AAI3136541
040 $a UnM $c UnM
100 1 $a Sen, Rituparna. $3 1927583
245 1 0 $a Modeling the stock price process as a continuous time jump process.
300 $a 100 p.
500 $a Source: Dissertation Abstracts International, Volume: 65-06, Section: B, page: 2991.
500 $a Adviser: Per Aslak Mykland.
502 $a Thesis (Ph.D.)--The University of Chicago, 2004.
520 $a An important aspect of the stock price process, which has often been ignored in the financial literature, is that prices on organized exchanges are restricted to lie on a grid. We consider continuous-time models for the stock price process with random waiting times of jumps and discrete jump size. We consider a class of jump processes that are "close" to the Black-Scholes model in the sense that as the jump size goes to zero, the jump model converges to geometric Brownian motion. We study the changes in pricing and hedging caused by discretization. The convergence, estimation, discrete time approximation, and uniform integrability conditions for this model are studied. Upper and lower bounds on option prices are developed. We study the performance of the model with real data.
520 $a In general, jump models do not admit self-financing strategies for derivative securities. Birth-death processes have the virtue that they allow perfect hedging of derivative securities. The effect of stochastic volatility is studied in this setting. A Bayesian filtering technique is proposed as a tool for risk neutral valuation and hedging. This emphasizes the need for using statistical information for valuation of derivative securities, rather than relying on implied quantities.
590 $a School code: 0330.
650 4 $a Statistics. $3 517247
650 4 $a Economics, Finance. $3 626650
690 $a 0463
690 $a 0508
710 2 0 $a The University of Chicago. $3 1017389
773 0 $t Dissertation Abstracts International $g 65-06B.
790 1 0 $a Mykland, Per Aslak, $e advisor
790 $a 0330
791 $a Ph.D.
792 $a 2004
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3136541