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Option valuation with conditional skewness
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DOI：10.1016/j.jeconom.2005.01.010.png)
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摘要
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Index option prices differ systematically from Black-Scholes prices. Out-of-the-money put prices (and in-the-money call prices) are relatively high compared to the Black-Scholes price. Motivated by these empirical facts, we develop a new discrete-time dynamic model of stock returns with inverse Gaussian innovations. The model allows for conditional skewness as well as conditional heteroskedasticity and a leverage effect. We present all analytic option pricing formula consistent with this stock return dynamic. Ail extensive empirical test of the model using S&P500 index options shows that the new inverse Gaussian GARCH model's performance is superior to a standard existing nested model for out-of-the money Puts. (c) 2005 Elsevier B.V. All rights reserved.
Keyword:
GARCH
out-of-sample
jumps
discrete-time model
continuous-time limit
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