The Finite Moment Log Stable Process and Option Pricing
发现标普500期权隐含波动率偏斜在长达两年的到期期限内不随期限增加而变平，与中心极限定理预测相悖，并构建了一个违反CLT假设的简约模型来捕捉该现象，校准显示其优于常用替代模型。
ABSTRACT We document a surprising pattern in S&P 500 option prices. When implied volatilities are graphed against a standard measure of moneyness, the implied volatility smirk does not flatten out as maturity increases up to the observable horizon of two years. This behavior contrasts sharply with the implications of many pricing models and with the asymptotic behavior implied by the central limit theorem (CLT). We develop a parsimonious model which deliberately violates the CLT assumptions and thus captures the observed behavior of the volatility smirk over the maturity horizon. Calibration exercises demonstrate its superior performance against several widely used alternatives.