Implied Volatility Functions: Empirical Tests
检验了Derman等人提出的确定性波动率函数期权定价模型，使用1988至1993年的标普500期权数据，发现该模型在预测和对冲方面并不优于简单平滑Black-Scholes隐含波动率的经验方法。
Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) hypothesize that asset return volatility is a deterministic function of asset price and time, and develop a deterministic volatility function (DVF) option valuation model that has the potential of fitting the observed cross section of option prices exactly. Using S&P 500 options from June 1988 through December 1993, we examine the predictive and hedging performance of the DVF option valuation model and find it is no better than an ad hoc procedure that merely smooths Black–Scholes (1973) implied volatilities across exercise prices and times to expiration.