Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation
基于特征函数的线性状态空间表示与期权定价模型估计
We develop a novel filtering and estimation procedure for parametric option pricing models driven by general affine jump-diffusions. Our procedure is based on the comparison between an option-implied, model-free representation of the conditional log-characteristic function and the model-implied conditional log-characteristic function, which is functionally affine in the model's state vector. We formally derive an associated linear state space representation and establish the…