non‐affine models

  • 详情 Modeling the Implied Volatility Smirk in China: Do Non-Affine Two-Factor Stochastic Volatility Models Work?
    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.