Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
提出一种高效方法为美式期权定价，考虑系统性跳跃和波动风险，并用1984-1991年德国马克期权数据估计模型参数，发现随机波动率子模型无法解释波动率微笑，而跳跃恐惧可以解释该现象。
An efficient method is developed for pricing American options on stochastic volatility/jump-diffusion processes under systematic jump and volatility risk. The parameters implicit in deutsche mark (DM) options of the model and various submodels are estimated over the period 1984 to 1991 via nonlinear generalized least squares, and are tested for consistency with $/DM futures prices and the implicit volatility sample path. The stochastic volatility submodel cannot explain the “volatility smile” evidence of implicit excess kurtosis, except under parameters implausible given the time series properties of implicit volatilities. Jump fears can explain the smile, and are consistent with one 8 percent DM appreciation “outlier” observed over the period 1984 to 1991.