The Skewness Implied in the Heston Model and Its Application

被引：15

作者：

Zhang, Jin E. ^{[1
]}

Zhen, Fang ^{[1
]}

Sun, Xiaoxia ^{[2
]}

Zhao, Huimin ^{[3
]}

机构：

[1] Univ Otago, Otago Business Sch, Dept Accountancy & Finance, Dunedin 9054, New Zealand

[2] Dongbei Univ Finance & Econ, Sch Math & Quantitat Econ, Dalian, Peoples R China

[3] Sun Yat Sen Univ, Sun Yat Sen Business Sch, Guangzhou, Guangdong, Peoples R China

来源：

JOURNAL OF FUTURES MARKETS | 2017年 / 37卷 / 03期

基金：

中国国家自然科学基金;

关键词：

STOCHASTIC VOLATILITY MODELS; STOCK RETURNS; TERM STRUCTURE; PRICING-MODELS; OPTION PRICES; JUMP-RISK; MARKET;

D O I：

10.1002/fut.21801

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we provide an exact formula for the skewness of stock returns implied in the Heston (1993) model by using a moment-computing approach. We compute the moments of Ito integrals by using Ito's Lemma skillfully. The model's affine property allows us to obtain analytical formulas for cumulants. The formulas for the variance and the third cumulant are written as time-weighted sums of expected instantaneous variance, which are neater and more intuitive than those obtained with the characteristic function approach. Our skewness formula is then applied in calibrating Heston's model by using the market data of the CBOE VIX and SKEW. (C) 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37: 211-237, 2017

引用

页码：211 / 237

页数：27

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