Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes
分析了基于时间变换Lévy过程的期权定价模型规格，通过估计多种模型发现，为更好拟合标普500指数期权，需在收益过程中加入高频跳跃成分，并从跳跃和扩散两个来源生成随机波动率。
ABSTRACT We analyze the specifications of option pricing models based on time‐changed Lévy processes. We classify option pricing models based on the structure of the jump component in the underlying return process, the source of stochastic volatility, and the specification of the volatility process itself. Our estimation of a variety of model specifications indicates that to better capture the behavior of the S&P 500 index options, we need to incorporate a high frequency jump component in the return process and generate stochastic volatilities from two different sources, the jump component and the diffusion component.