所属栏目:资本市场/衍生证券/2026/2026年第01期

DOI号:https://doi.org/10.1002/fut.22579

Modeling the Implied Volatility Smirk in China: Do Non-Affine Two-Factor Stochastic Volatility Models Work?
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发布日期:2026年01月29日 上次修订日期:2026年01月29日

摘要

In this paper, we investigate alternative one-factor and two-factor continuous-time models with both affine and non-affine variance dynamics for the Chinese options market. Through extensive empirical analysis of the option panel fit and diagnostics, we find that it is necessary to include both the non-affine feature and the multi-factor structure. For performance evaluation, we examine various measures from both aggregate and dynamic perspectives. Our results are statistically significant.
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Yifan Ye; Zheqi Fan; Xinfeng Ruan Modeling the Implied Volatility Smirk in China: Do Non-Affine Two-Factor Stochastic Volatility Models Work? (2026年01月29日) https://www.cfrn.com.cn/dzqk/detail/16545.html

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