Fitting S&P 500 Stock Index Option Prices Using High-dimensional AJD Models (The First Draft)
نویسنده
چکیده
We investigate the empirical performance of high-dimensional a¢ ne stochastic volatility and jump di¤usion (AJD) pricing models to t S&P 500 stock index option prices.We use these models to study how to structure two kind of risk components: volatility factor and jump di¤usion within a multi-factor framework. We identify that more than two volatility factors are needed to be included into model speci cation and a threevolatility structure can capture most of the data variabilities. As for the role of jump di¤usion, we nd that its role is limited in this framework and a more complex jump speci cation will be very useful only when it is connected to a new and independent volatility factor.
منابع مشابه
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