Jiang van der Sluis Pricing Stock Options Under Stochastic Volatility And Interest Rates With Efficient Method Of Moments Estimation 1999英文电子书.pdfVIP

Pricing Stock Options under Stochastic Volatility and Interest Rates with Efficient Method of Moments Estimation † George J. Jiang and Pieter J. van der Sluis 28th July 1999 George J. Jiang, Department of Econometrics, University of Groningen, PO Box 800, 9700 AV Groningen, The Netherlands, phone +31 50 363 3711, fax, +31 50 363 3720, email: g.jiang@eco.rug.nl; † Pieter J. van der Sluis, Department of Econometrics, Tilburg University, P.O. Box 90153, NL-5000 LE Tilburg, The Netherlands, phone +31 13 466 2911, email: sluis@kub.nl. This paper was presented at the Econometric Institute in Rotterdam, Nuffield College at Oxford, CORE Louvain-la-Neuve and Tilburg University. 1 1. Introduction Acknowledging the fact that volatility is changing over time in time series of as- set returns as well as in the empirical variances implied from option prices through the Black-Scholes (1973) model, there have been numerous recent studies on op- tion pricing with time-varying volatility. Many authors have proposed to model asset return dynamics using the so-called stochastic volatility (SV) models. Examples of these models in continuous-time include Hull and White (1987), Johnson and Shanno (1987), Wiggins (1987), Scott (1987, 1991, 1997), Bailey and Stulz (1989), Chesney and Scott (1989), Melino and Turnbull (1990), Stein and Stein (1991), Heston (1993), Bates (1996a,b), and Bakshi, Cao and Chen (1997), and examples in discrete-time include Taylor (1986), Amin and Ng (1993), Harvey, Ruiz and Shephard (1994), and Kim, Shephard and Chib (1998). Review articles on SV models are provided by Ghysels, Harvey and Renault (1996) and Shephard (1996). Due