Simulating the Evolution of the Implied Distribution
提出一种新方法，通过模拟隐含风险中性分布来构建与波动率微笑一致的随机波动率模型，并设计了当分布前两阶矩随时间变化时的模拟算法。
Motivated by the implied stochastic volatility literature (Britten–Jones and Neuberger, forthcoming; Derman and Kani, 1997; Ledoit and Santa–Clara, 1998) this paper proposes a new and general method for constructing smile–consistent stochastic volatility models. The method is developed by recognising that option pricing and hedging can be accomplished via the simulation of the implied risk neutral distribution. We devise an algorithm for the simulation of the implied distribution, when the first two moments change over time. The algorithm can be implemented easily, and it is based on an economic interpretation of the concept of mixture of distributions. It can also be generalised to cases where more complicated forms for the mixture are assumed.