Fitting prices with a complete model
Fitting prices with a complete model
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DOI：
10.1016/j.jbankfin.2005.02.011
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发表时间：
2006
影响因子：
3.7
通讯作者：
Maria Letizia Guerra
中科院分区：
文献类型：
--
作者：
Gianna Figá;Maria Letizia Guerra
本文的目的是介绍 Hobson 和 Rogers 随机波动率模型（1998）中参数估计的一些方法。我们特别关注所谓的反馈参数，这对于模型正确拟合隐含波动率微笑曲线至关重要，并且我们引入了不同的过程来估计波动率参数。最后，根据介绍的估计方法，我们测试了模型对 FTSE100 和 S&P500 指数市场期权价格的定价能力。
The aim of this paper is to introduce some methodologies for parameter estimation in Hobson and Rogers stochastic volatility model (1998). We pay a specific attention to the so-called feedback parameter, which is shown to be crucial for the model to fit correctly the smile curve of implied volatility and we introduce different procedures for the estimation of the volatility parameters. We finally test the pricing capability of the model on market options prices on the FTSE100 and the S&P500 Indexes, according to the estimation methodologies introduced.