Implied volatility functions: Empirical tests

• 成果类型: Article
• 署名作者: Dumas, B; Fleming, J; Whaley, RE
• 署名单位: Duke University; National Bureau of Economic Research; Rice University; Duke University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00083
• 发表日期: 1998
• 页码: 2059-2106
• 关键词: OPTION PRICING-MODELS; stochastic volatility; prices; futures; time

摘要

Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) hypothesize that asset return volatility is a deterministic function of asset price and time, and develop a deterministic volatility function (DVF) option valuation model that has the potential of fitting the observed cross section of option prices exactly. Using S&P 500 options from June 1988 through December 1993, we examine the predictive and hedging performance of the DVF option valuation model and find it is no better than an ad hoc procedure that merely smooths Black-Scholes (1973) implied volatilities across exercise prices and times to expiration.