Implied parameter estimation for jump diffusion option pricing models: Pricing accuracy and the role of loss and evaluation functions
用模拟数据检验了跳跃扩散期权定价模型中隐含参数估计的可靠性，发现四参数模型估计准确，八参数模型部分参数有偏，但两种模型都能准确估计期权价格，并用比特币数据验证了八参数模型的样本外表现。
There is extensive literature on problems involved in estimating implied parameters in the Merton Jump Diffusion model. Using simulated data, we use weighted non-linear least squares to estimate implied parameters in the four parameter jump diffusion model (JD) and in an eight parameter jump diffusion model with convenience yield (JDC). We find reliable and accurate implied parameter estimates for the JD model but biased and unreliable estimates for some parameters in the JDC model. However, for both models we estimate accurate option prices, usually within several basis points. We also use Bitcoin real data to estimate parameters and test the out-of-sample performance of the JDC model.