Realizing smiles: Options pricing with realized volatility

• 成果类型: Article
• 署名作者: Corsi, Fulvio; Fusari, Nicola; La Vecchia, Davide
• 署名单位: University of St Gallen; Northwestern University; Monash University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.08.015
• 发表日期: 2013
• 页码: 284-304
• 关键词: high-frequency; realized volatility; option pricing

摘要

We develop a discrete-time stochastic volatility option pricing model exploiting the information contained in the Realized Volatility (RV), which is used as a proxy of the unobservable log-return volatility. We model the RV dynamics by a simple and effective long-memory process, whose parameters can be easily estimated using historical data. Assuming an exponentially affine stochastic discount factor, we obtain a fully analytic change of measure. An empirical analysis of Standard and Poor's 500 index options illustrates that our model outperforms competing time-varying and stochastic volatility option pricing models. (c) 2012 Elsevier B.V. All rights reserved.