Empirical Performance of Alternative Option Pricing Models外文翻译.pdfVIP

THE JOURNAL OF FINANCE . VOL. LII, NO. 5 . DECEMBER 1997 Empirical Performance of Alternative Option Pricing Models GURDIP BAKSHI, CHARLES CAO, and ZHIWU CHEN* ABSTRACT Substantial progress has been made in developing more realistic option pricing models. Empirically, however, it is not known whether and by how much each generalizationimproves optionpricing and hedging. We fill this gap by first deriving an option model that allows volatility, interest rates and jumps to be stochastic. Using SP 500 options, we examine several alternative models from three perspec- tives: (1) internal consistency of implied parameters/volatility with relevant time- series data, (2) out-of-samplepricing, and (3) hedging. Overall, incorporating sto- chasticvolatility andjumps is importantforpricing and internal consistency.But for hedging, modeling stochastic volatility alone yields the best performance. THE LAST TWO pricing has witnessed an explosion of new IN DECADES, option models that each relax some of the restrictive Black-Scholes (BS) (1973) assumptions. Examples include (i) the stochastic-interest-rate option models of Merton (1973) and Amin and Jarrow (1992); (ii) the jump-diffusionlpurejump models of Bates (1991), Madan and Chang (1996), and Merton (1976); (iii) the constant-elasticity-of-variance model of Cox and Ross (1976); (iv) the Mark- ovian models of Rubinstein (1994) and Alt-Sahalia and Lo (1996); (v) the stochastic-volatility models of Heston (1993), Hull and White (1987a), Melino and Turnbull (1990, 1995), Scott (1987), Stein and Stein (1991), and Wiggins (1987); (vi) the stochastic-vo