讲座题目：Double-exponential jumps in returns and GARCH diffusion in volatilities: Evidence from the Chinese SSE 50ETF option market

时间：2023年12月05日（星期二）下午14:00—16:00

地点：商学院116东方厅

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江南大学商学院

2023年11月29日

主讲嘉宾简介：

杨念，现任南京大学商学院金融与保险学系副教授。2013年获得香港中文大学金融工程哲学博士。主要研究领域为金融工程、金融衍生品、金融科技等。研究成果发表于《管理科学学报》和Journal of Econometrics等国内外知名期刊。主持和参与多项国家级和省部级课题。曾获江苏省第十七届哲学社会科学优秀成果奖二等奖、江苏省高等学校哲学社会科学研究成果奖三等奖等奖项。任《南大商学评论》和《中国证券期货》杂志（执行）编委、国家自然科学基金通讯评议专家、多个国内外知名期刊审稿人。

讲座主要内容

The absence of analytical option pricing formulas limits the empirical investigations into non-affine jump-diffusion stochastic volatility models using option data. In this paper, we address this constraint by employing the approximate closed-form option pricing formulas developed by Wan and Yang (2021). Our study delves into the empirical performance of nine different types of jump-diffusion stochastic volatility models, encompassing models with normal or double-exponential jump sizes in returns, and models with Heston, GARCH, or CEV stochastic volatilities. Applying the penalized nonlinear least squares estimation method introduced by Andersen et al. (2015) utilizing information from option panel data and realized volatilities, we find that a non-affine jump-diffusion stochastic volatility model with double exponential jump sizes in returns and GARCH diffusion in volatilities outperforms the others in fitting the Chinese SSE 50ETF option panel data both in-sample and out-of-sample, conducted both before and during the Covid-19 crisis.