Good Volatility, Bad Volatility, and Option Pricing
将总二次变差分解为上行和下行部分，并基于此构建新的期权定价模型，该模型优于传统基准，尤其优于将二次变差分解为扩散和跳跃成分的模型。
Advances in variance analysis permit the splitting of the total quadratic variation of a jump-diffusion process into upside and downside components. Recent studies establish that this decomposition enhances volatility predictions and highlight the upside/downside variance spread as a driver of the asymmetry in stock price distributions. To appraise the economic gain of this decomposition, we design a new and flexible option pricing model in which the underlying asset price exhibits distinct upside and downside semivariance dynamics driven by the model-free proxies of the variances. The new model outperforms common benchmarks, especially the alternative that splits the quadratic variation into diffusive and jump components.