时间的跳跃改变了L -郁闷模型是多余的吗?实证调查

K. Herrmann, R. Schoebel
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引用次数: 0

摘要

本文提供了经验证据,表明在时间变化的Levy模型下,欧洲期权定价中标的股票价格过程的跳跃是多余的。我们引入了一个具有连续采样路径和自由参数的简洁描述的模型。所进行的样本内外分析表明,连续模型与纯跳变模型之间对德国DAX指数的校准质量几乎没有差异。跳跃模型实际上显示了参数化过度的迹象,随着时间的推移,参数估计发生了巨大的变化。对结果拟合误差的分析也表明,在基础过程中包含跳跃没有任何好处。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Are Jumps in Time Changed L évy Models Superfluous? An Empirical Investigation
This paper provides empirical evidence that jumps in the underlying stock price process are superfluous for European option pricing in time changed Levy models. We introduce a model with a.s. continuous sample paths and a parsimonious description in terms of free parameters. The conducted in- and out-of-sample analysis show almost no di fference concerning calibration quality to the German DAX index between the continuous model and pure jump alternatives. The jump models in fact show signs of over-parameterization displayed by dramatically varying parameter estimates over time. An analysis of the resulting fitting errors also reveals no benefi t from including jumps in the underlying process.
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