Smile from the past: A general option pricing framework with multiple volatility and leverage components
提出了一个通用的离散时间期权定价框架，允许波动率和杠杆具有多成分结构，并扩展了HARG模型以包含非对称杠杆，实证表明该模型在定价S&P 500价外期权上优于现有基准。
In the current literature, the analytical tractability of discrete time option pricing models is guaranteed only for rather specifc types of models and pricing kernels. We propose a very general and fully analytical option pricing framework, encompassing a wide class of discrete time models featuring multiple-component structure in both volatility and leverage, and a exible pricing kernel with multiple risk premia. Although the proposed framework is general enough to include either GARCH-type volatility, Realized Volatility or a combination of the two, in this paper we focus on realized volatility option pricing models by extending the Heterogeneous Autoregressive Gamma (HARG) model of Corsi et al. (2012) to incorporate heterogeneous leverage structures with multiple components, while preserving closed-form solutions for option prices. Applying our analytically tractable asymmetric HARG model to a large sample of S&P 500 index options, we demonstrate its superior ability to price out-of-the-money options compared to existing benchmarks.