“商學大講堂”系列學術講座（第232講）---學術名家講壇（55）

講座題目：Double-exponential jumps in returns and GARCH diffusion in volatilities: Evidence from the Chinese SSE 50ETF option market

時間：2023年12月05日（星期二）下午14:00—16:00

地點：菠菜网最新平台网116東方廳

歡迎感興趣的師生參加聆聽！

菠菜担保平台官网

2023年11月29日

主講嘉賓簡介

楊念，現任南京大學菠菜网最新平台网金融與保險學系副教授。2013年獲得香港中文大學金融工程哲學博士。主要研究領域為金融工程、金融衍生品、金融科技等。研究成果發表于《管理科學學報》和Journal of Econometrics等國内外知名期刊。主持和參與多項國家級和省部級課題。曾獲江蘇省第十七屆哲學社會科學優秀成果獎二等獎、江蘇省高等學校哲學社會科學研究成果獎三等獎等獎項。任《南大商學評論》和《中國證券期貨》雜志（執行）編委、國家自然科學基金通訊評議專家、多個國内外知名期刊審稿人。

講座主要内容

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.