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Chuang-Chang Chang,Hsiao-Wei Ho,Tzu-Hsiang Liao,Yaw-Huei Wang 한국재무학회 2011 한국재무학회 학술대회 Vol.2011 No.09
In this paper we consider the pricing of quanto derivatives with the bivariate GARCH-Jump model, in which jumps take place in the price kernel, and consequently in foreign asset returns and in exchange rates. In the empirical investigation, we use Dow Jones, NASDAQ and NIKKEI 225 indexes, exchange rates and corresponding index warrants data to examine the effects of jump on derivative pricing. The empirical results suggest that the unrestricted bivariate NGARCH-Jump model outperforms the other four models considered in this study. The evidence also reveals that the average pricing error is the smallest for the unrestricted bivariate NGARCH-Jump model. Hence, the nonlinear asymmetric model with jumps captures the dynamics of index return and exchange rate well.