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首页> 外文期刊>The North American journal of economics and finance >Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence
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Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence

机译：波动率的影响跳跃在平均恢复模型中：衍生定价和经验证据

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This paper investigates the critical role of volatility jumps under mean reversion models. Based on the empirical tests conducted on the historical prices of commodities, we demonstrate that allowing for the presence of jumps in volatility in addition to price jumps is a crucial factor when confronting non-Gaussian return distributions. By employing the particle filtering method, a comparison of results drawn among several mean-reverting models suggests that incorporating volatility jumps ensures an improved fit to the data. We infer further empirical evidence for the existence of volatility jumps from the possible paths of filtered state variables. Our numerical results indicate that volatility jumps significantly affect the level and shape of implied volatility smiles. Finally, we consider the pricing of options under the mean reversion model, where the underlying asset price and its volatility both have jump components.
机译：本文调查了平均逆转模型下波动率跳跃的关键作用。基于对商品历史价格进行的实证测试，我们证明除价格跳跃之外，允许在波动率的跳跃存在是面对非高斯返回分布时的关键因素。通过采用粒子滤波方法，在几种均值模型中绘制的结果的比较表明结合波动率跳跃，确保了改进的拟合数据。我们推断出于存在波动率的进一步的经验证据，从过滤状态变量的可能路径跳跃。我们的数值结果表明，波动率跳跃显着影响隐含挥发性微笑的水平和形状。最后，我们考虑在平均回归模型下的选项定价，潜在资产价格及其波动既具有跳跃组件。

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