Option valuation via nonaffine dynamics with realized volatility

IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Yuanyuan Zhang , Qian Zhang , Zerong Wang , Qi Wang
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Abstract

This paper evaluates the improvement in option pricing brought about by realized volatility (RV) through nonaffine dynamics as advocated by Christoffersen et al. (2014). We complement their studies by developing a closed-form approximation of option pricing for the nonaffine models with RV, and then study the trade-off between the degradation in data fitting and the computational convenience offered by the analytical formula. Our studies confirm the literature that the nonaffine dynamics consistently outperform the affine in option pricing. In particular, we find that RV can significantly improve return fitting and option pricing through both affine and nonaffine models. For the affine models, we find strong evidence in favor of the RV information for both returns and options; for the nonaffine models, the evidence is less convincing for option pricing. We also provide additional new evidence that RV and nonaffine structures are equally competent at improving option pricing; moreover, these two features are complements rather than substitutes for GARCH option pricing, and the importance of one feature for option pricing is further enhanced when the other is present. All of these results are robust across moneyness, maturity, and volatility levels, and point to the necessity of including RV in nonaffine option pricing models.

通过非阿芬动力学对已实现波动率进行期权估值
本文评估了 Christoffersen 等人(2014 年)主张的通过非参数动态的已实现波动率(RV)对期权定价的改进。我们对他们的研究进行了补充,为具有 RV 的非参数模型开发了期权定价的闭式近似方法,然后研究了数据拟合的退化与分析公式提供的计算便利之间的权衡。我们的研究证实了非仿射动力学在期权定价方面始终优于仿射动力学的文献。特别是,我们发现 RV 可以通过仿射和非仿射模型显著改善收益拟合和期权定价。在仿射模型中,我们发现有力的证据表明 RV 信息对收益率和期权都有利;而在非仿射模型中,证据对期权定价的说服力较弱。我们还提供了额外的新证据,证明 RV 结构和非仿射结构在改善期权定价方面具有同等能力;此外,这两个特征对于 GARCH 期权定价而言是互补而非替代的,当一个特征存在时,另一个特征对于期权定价的重要性会进一步增强。所有这些结果在不同的货币量、期限和波动率水平下都是稳健的,并表明了将 RV 纳入非参数期权定价模型的必要性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
3.40
自引率
3.80%
发文量
59
期刊介绍: The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.
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