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两个期权市场的定价核与波动率风险AI 解读

Using both S&P 500 option and recently introduced VIX option prices, we study pricing kernels and their dependence on multiple volatility factors. We first propose nonparametric estimates of marginal pricing kernels, conditional on the VIX and the slope of the variance swap term structure. Our estimates highlight the state-dependence nature of the pricing kernels. In particular, conditioning on volatility factors, the pricing kernel of market returns exhibit a downward…

检验连续时间过程是否为扩散过程：基于无穷小算子的方法AI 解读

We develop a nonparametric test to check whether a process can be represented by a stochastic differential equation driven only by a Brownian motion. Our testing procedure utilizes the infinitesimal operator-based martingale characterization combined with a generalized spectral approach. Such a testing procedure is feasible and convenient because the infinitesimal operator of the diffusion process has a closed-form expression. The proposed test is applicable to both…

基于无穷小生成算子的扩散模型鞅检验方法AI 解读

I develop an omnibus specification test for diffusion models based on the infinitesimal operator. The infinitesimal operator based identification of the diffusion process is equivalent to a "martingale hypothesis" for the processes obtained by a transformation of the original diffusion model. My test procedure is then constructed by checking the "martingale hypothesis" via a multivariate generalized spectral derivative based approach that delivers a N(0,1) asymptotical null…