Jumps and stochastic volatility: Exchange rate processes implicit in deutsche mark options
Jumps and stochastic volatility: Exchange rate processes implicit in deutsche mark options
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DOI：
10.1093/rfs/9.1.69
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发表时间：
1996-12-01
影响因子：
8.2
通讯作者：
Bates, DS
中科院分区：
文献类型：
--
作者：
Bates, DS
本文给出了一种有效的方法来计算具有系统跳和波动风险的随机波动率/跳扩散过程的美式期权的定价，并利用非线性广义最小二乘估计了1984 ~ 1991年德国马克（DM）期权模型及其各子模型中隐含的参数，并测试与$/DM期货价格和隐式波动率样本路径的一致性。随机波动率子模型不能解释隐式超额峰度的“波动率，微笑”证据，除了在给定隐含波动率的时间序列特性的参数下不可信之外，跳跃恐惧可以解释微笑，并且与1984年至1991年期间观察到的8% DM升值“离群值”一致。
An efficient method is developed for pricing American options on stochastic volatility/jump-diffusion processes under systematic jump and volatility risk,, The parameters implicit in deutsche mark (DM) options of the model and various submodels are estimated over the period 1984 to 1991 via nonlinear generalized least squares, and are tested for consistency with $/DM futures prices and the implicit volatility sample path The stochastic volatility submodel cannot explain the ''volatility, smile'' evidence of implicit excess kurtosis, except under parameters implausible given the time series properties of implicit volatilities, Jump fears can explain the smile, and are consistent with one 8 percent DM appreciation ''outlier'' observed over the period 1984 to 1991.