Realized bipower variation, jump components, and option valuation
提出了一个捕捉跳跃动态并区分正负回报方差不同作用的新期权定价模型，推导出非单调定价核下的闭式解，实证表明该模型优于嵌套模型和传统基准模型。
Abstract We develop a new option pricing model that captures the jump dynamics and allows for the different roles of positive and negative return variances. Based on the proposed model, we derive a closed‐form solution for option pricing under the condition of a nonmonotonic pricing kernel. Our results indicate that the new model has superior option pricing performance to its nested models, including the jump model of Christoffersen et al. (2015) and affine realized semivariance model of Feunou and Okou (2019). The models accommodating jumps, high‐frequency information, and accounting for variance risk premium perform well compared with traditional benchmark models.