英文标题：
《Smile from the Past: A general option pricing framework with multiple
volatility and leverage components》
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作者：
Adam Aleksander Majewski, Giacomo Bormetti, Fulvio Corsi
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最新提交年份：
2014
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英文摘要：
In the current literature, the analytical tractability of discrete time option pricing models is guaranteed only for rather specific types of models and pricing kernels. We propose a very general and fully analytical option pricing framework, encompassing a wide class of discrete time models featuring multiple-component structure in both volatility and leverage, and a flexible pricing kernel with multiple risk premia. Although the proposed framework is general enough to include either GARCH-type volatility, Realized Volatility or a combination of the two, in this paper we focus on realized volatility option pricing models by extending the Heterogeneous Autoregressive Gamma (HARG) model of Corsi, Fusari, La Vecchia (2012) to incorporate heterogeneous leverage structures with multiple components, while preserving closed-form solutions for option prices. Applying our analytically tractable asymmetric HARG model to a large sample of S&P 500 index options, we demonstrate its superior ability to price out-of-the-money options compared to existing benchmarks.
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中文摘要：
在目前的文献中，离散时间期权定价模型的分析可处理性仅限于相当特定类型的模型和定价核。我们提出了一个非常通用且全面分析的期权定价框架，包括一系列离散时间模型，这些模型在波动率和杠杆率方面都具有多成分结构，以及具有多风险溢价的灵活定价核心。虽然提议的框架足够笼统，可以包括GARCH型波动率、已实现波动率或两者的组合，但在本文中，我们通过扩展Corsi、Fusari、La Vecchia（2012）的异质自回归伽马（HARG）模型，将具有多个组成部分的异质杠杆结构结合起来，重点讨论已实现波动率期权定价模型，同时保留期权价格的闭式解。将我们的分析易操作的非对称价格模型应用于标准普尔500指数期权的大样本，我们证明了与现有基准相比，该模型具有更高的定价能力。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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