Stochastic Skew in Currency Options
Stochastic Skew in Currency Options
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DOI：
10.2139/ssrn.559404
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发表时间：
2004-05
期刊：
影响因子：
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通讯作者：
Liuren Wu;P. Carr
中科院分区：
文献类型：
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作者：
Liuren Wu;P. Carr
我们记录了过去八年中交易最活跃的两种货币对的场外货币期权价格在货币性、到期日和日历时间方面的行为。我们发现货币回报的风险中性分布平均而言相对对称。然而，在任何给定日期，有条件货币回报分布都可能表现出强烈的不对称性。这种不对称性随着时间的推移变化很大，并且经常改变方向。我们设计并估计了一类模型，该模型捕捉了货币期权价格的这些独特特征，并且比传统的跳跃扩散随机波动率模型表现得更好。
We document the behavior of over-the-counter currency option prices across moneyness, maturity, and calendar time on two of the most actively traded currency pairs over the past eight years. We find that the risk-neutral distribution of currency returns is relatively symmetric on average. However, on any given date, the conditional currency return distribution can show strong asymmetry. This asymmetry varies greatly over time and often switch directions. We design and estimate a class of models that capture these unique features of the currency options prices and perform much better than traditional jump-diffusion stochastic volatility models.