Empirical Performance of Alternative Option Pricing Models
比较了多种期权定价模型在S&P 500期权上的表现，发现加入随机波动率和跳跃对定价和内部一致性重要，但仅用随机波动率模型对冲效果最好。
ABSTRACT Substantial progress has been made in developing more realistic option pricing models. Empirically, however, it is not known whether and by how much each generalization improves option pricing and hedging. We fill this gap by first deriving an option model that allows volatility, interest rates and jumps to be stochastic. Using S&P 500 options, we examine several alternative models from three perspectives: (1) internal consistency of implied parameters/volatility with relevant time‐series data, (2) out‐of‐sample pricing, and (3) hedging. Overall, incorporating stochastic volatility and jumps is important for pricing and internal consistency. But for hedging, modeling stochastic volatility alone yields the best performance.