Bakshi, Kapadia, and Madan (2003) risk‐neutral moment estimators: An affine jump‐diffusion approach
研究了在仿射跳跃扩散模型下Bakshi等人风险中性矩估计量的误差，通过插值和外推方法降低偏度估计误差，基于2020年标普500指数参数校准的模拟数据验证。
Abstract This is the first study of the errors in the Bakshi, Kapadia, and Madan risk‐neutral moment estimators under the Duffie, Pan, and Singleton affine jump‐diffusion model benchmarked against their true values. This is accomplished by extending the exact solutions from Zhen and Zhang. To mitigate errors in skewness, interpolating the implied volatility curve linearly and applying constant extrapolation to have a step size of $1 and strikes ranging from a quarter to quadruple the forward price should yield skewness values with errors less than , based on simulated data using parameters calibrated with the S&P 500 index during 2020.