英文文献：Parametric Inference and Dynamic State Recovery from Option Panels-参数推断和动态状态恢复从选项面板
英文文献作者：Torben G. Andersen,Nicola Fusari,Viktor Todorov
英文文献摘要：
We develop a new parametric estimation procedure for option panels observed with error which relies on asymptotic approximations assuming an ever increasing set of observed option prices in the moneyness-maturity (cross-sectional) dimension, but with a fixed time span. We develop consistent estimators of the parameter vector and the dynamic realization of the state vector that governs the option price dynamics. The estimators converge stably to a mixed-Gaussian law and we develop feasible estimators for the limiting variance. We provide semiparametric tests for the option price dynamics based on the distance between the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the underlying asset. We further construct new formal tests of the model t for specific regions of the volatility surface and for the stability of the risk-neutral dynamics over a given period of time. A large-scale Monte Carlo study indicates that the inference procedures work well for empirically realistic model specifications and sample sizes. In an empirical application to S&P 500 index options we extend the popular double-jump stochastic volatility model to allow for time-varying risk premia of extreme events, i.e., jumps, as well as a more exible relation between the risk premia and the level of risk. We show that both extensions provide a significantly improved characterization, both statistically and economically, of observed option prices.

本文提出了一种新的误差观测期权面板的参数估计方法，该方法依赖于假设在固定的时间跨度下，货币-到期(截面)维度上观测的期权价格不断增加的渐近估计。本文给出了控制期权价格动态的参数向量的一致估计和状态向量的动态实现。该估计量稳定收敛于混合高斯律，并给出了极限方差的可行估计量。基于从期权中提取的现货波动率与从标的资产高频数据中获得的非参数波动率之间的距离，我们提供了期权价格动态的半参数检验。我们进一步为波动面的特定区域和给定时期内风险中性动态的稳定性构建了新的t模型的正式测试。大规模蒙特卡洛研究表明，该推理程序对实证现实的模型规格和样本容量是有效的。在标准普尔500指数期权的经验应用中，我们扩展了流行的双跳随机波动率模型，允许极端事件的时变风险溢价，即跳跃，以及风险溢价和风险水平之间更容易理解的关系。我们表明，这两种扩展提供了一个显著改进的表征，统计上和经济上，观察期权价格。