Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility
推导了双因子跳跃扩散随机波动率模型下期权隐含波动率的渐近展开公式，并提出一种校准方法，无需观测瞬时波动率，可跨日期联合校准，并用标普500期权数据演示。
We derive an asymptotic expansion formula for option implied volatility under a two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. We further propose a simple calibration procedure of an arbitrary parametric model to short-term near-the-money implied volatilities. An important advantage of our approximation is that it is free of the unobserved spot volatility. Therefore, the model can be calibrated on option data pooled across different calendar dates to extract information from the dynamics of the implied volatility smile. An example of calibration to a sample of S&P 500 option prices is provided.