Option-Implied Intra-Horizon Value-at-Risk
研究了跳扩散框架下的期内风险价值，提出位移混合指数模型来近似跳扩散和Levy过程，并用S&P 100期权数据估计，发现期权隐含估计比历史估计对市场变化更敏感，且跳贡献了约90%的iVaR。
We study the intra-horizon value at risk (iVaR) in a general jump diffusion setup and propose a new model of asset returns called displaced mixed-exponential model, which can arbitrarily closely approximate finite-activity jump-diffusions and completely monotone Levy processes. We derive analytical results for the iVaR and disentangle the risk contribution of jumps from diffusion. Estimating the iVaR for several popular jump models using on S&P 100 option data, we find that option-implied estimates are much more responsive to market changes relative to their historical counterparts. Moreover, disentangling jumps from diffusion, jump account for about 90 percent of iVaR on average.