Closed-form implied volatility surfaces for stochastic volatility models with jumps

被引：22
|
作者：
Ait-Sahalia, Yacine [1 ,2 ,5 ]
Li, Chenxu [3 ]
Li, Chen Xu [4 ]
机构：
[1] Princeton Univ, Dept Econ, Princeton, NJ 08544 USA
[2] NBER, Cambridge, MA 02138 USA
[3] Peking Univ, Guanghua Sch Management, Beijing 100871, Peoples R China
[4] Renmin Univ China, Sch Business, Beijing 100872, Peoples R China
[5] JRR Bldg, Princeton, NJ 08544 USA
来源：
JOURNAL OF ECONOMETRICS | 2021年 / 222卷 / 01期
基金：
中国国家自然科学基金;
关键词：
Implied volatility surface; Stochastic volatility; Jumps; Option pricing; Closed-form expansion; Model selection;
D O I：
10.1016/j.jeconom.2020.07.006
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We develop a closed-form bivariate expansion of the shape characteristics of the implied volatility surface generated by a stochastic volatility model with jumps in returns. We use the expansion to analyse the impact on the shape of the implied volatility surface of the various features of the stochastic volatility model and to determine which stochastic volatility models are capable of reproducing the observed characteristics of the implied volatility market data. (C) 2020 Elsevier B.V. All rights reserved.
引用
收藏
页码：364 / 392
页数：29
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