A Continuous-Time Arbitrage-Pricing Model With Stochastic Volatility and Jumps
含随机波动率与跳跃的连续时间套利定价模型
We formulate and test a continuous-time asset-pricing model using U.S. equity market data. We assume that stock returns are driven by common factors including random jump-size Poisson processes and Brownian motions with stochastic volatility. The model places overidentifying restrictions on the mean returns, allowing one to identify risk-neutral probability distributions useful in pricing derivative securities. We test for the restrictions and decompose moments of the asset…