Beyond Stochastic Volatility and Jumps in Returns and Volatility
超越随机波动率及收益与波动率跳跃的建模
While a great deal of attention has been focused on stochastic volatility in stock returns, there is strong evidence suggesting that return distributions have time-varying skewness and kurtosis as well. Under the risk-neutral measure, for example, this can be observed from variation across time in the shape of Black–Scholes implied volatility smiles. This article investigates model characteristics that are consistent with variation in the shape of return distributions using…