Abstract:We analyze various jumps for Heston model, non-IID model and three Lévy jump models for S&P 500 index options. The Lévy jump for the S&P 500 index options is inevitable from empirical studies. We estimate parameters from in-sample pricing through SSE for the BS, SV, SVJ, non-IID and Lévy (GH, NIG, CGMY) models by the method of , and utilize them for out-of-sample pricing and compare these models. The sensitivities of the call option pricing for the Lévy models with respect to parameters are presented. Empirica… Show more
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