Empirical performance of alternative pricing models of currency options
比较了Heston随机波动率模型和修正Black-Scholes模型对英镑欧式看涨期权的样本外定价表现，发现随机波动率模型定价偏差更少，有助于改进对冲和投机策略。
This article examines the out-of-sample pricing performance and biases of the Heston’s stochastic volatility and modified Black-Scholes option pricing models in valuing European currency call options written on British pound. The modified Black-Scholes model with daily-revised implied volatilities performs as well as the stochastic volatility model in the aggregate sample. Both models provide close and similar correspondence to actual prices for options trading near- or at-the-money. The prices generated from the stochastic volatility model are subject to fewer and weaker aggregate pricing biases than are the prices from the modified Black-Scholes model. Thus, the stochastic volatility model may provide improved estimates of the measures of option price sensitivities to key option parameters that may lead to more effective hedging and speculative strategies using currency options. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:265–291, 2000