The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
研究了基于日内收益率的已实现波动率能否为期权估值带来经济价值，通过构建新的仿射离散时间期权定价模型，发现其显著降低了S&P 500期权定价误差。
Abstract Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. To do so, we develop a new class of affine discrete-time option valuation models that use daily returns as well as realized volatility. We derive convenient closed-form option valuation formulas, and we assess the option valuation properties using Standard & Poor’s (S&P) 500 return and option data. We find that realized volatility reduces the pricing errors of the benchmark model significantly across moneyness, maturity, and volatility levels.