{"id":"https://openalex.org/W1980657129","doi":"https://doi.org/10.1142/s021986810400021x","title":"PRICING S&P 500 INDEX OPTIONS UNDER STOCHASTIC VOLATILITY WITH THE INDIRECT INFERENCE METHOD","display_name":"PRICING S&P 500 INDEX OPTIONS UNDER STOCHASTIC VOLATILITY WITH THE INDIRECT INFERENCE METHOD","publication_year":2004,"publication_date":"2004-09-01","ids":{"openalex":"https://openalex.org/W1980657129","doi":"https://doi.org/10.1142/s021986810400021x","mag":"1980657129"},"language":"en","primary_location":{"id":"doi:10.1142/s021986810400021x","doi":"https://doi.org/10.1142/s021986810400021x","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s021986810400021x","pdf_url":null,"source":{"id":"https://openalex.org/S1013915498","display_name":"Journal of Derivatives Accounting","issn_l":"0219-8681","issn":["0219-8681"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Derivatives Accounting","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5078591837","display_name":"Jinghong Shu","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I146563203","display_name":"University of International Business and Economics","ror":"https://ror.org/05khqpb71","country_code":"CN","type":"education","lineage":["https://openalex.org/I146563203"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"JINGHONG SHU","raw_affiliation_strings":["School of International Trade and Economics,  University of International Business and Economics,  Chao-Yang District, Beijing 100029, P.R. China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of International Trade and Economics,  University of International Business and Economics,  Chao-Yang District, Beijing 100029, P.R. China","institution_ids":["https://openalex.org/I146563203"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5020277265","display_name":"Jin E. Zhang","orcid":"https://orcid.org/0000-0002-8556-474X","observed_orcids":["https://orcid.org/0000-0002-8556-474X"]},"institutions":[{"id":"https://openalex.org/I200769079","display_name":"Hong Kong University of Science and Technology","ror":"https://ror.org/00q4vv597","country_code":"HK","type":"education","lineage":["https://openalex.org/I200769079"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"JIN E. ZHANG","raw_affiliation_strings":["Department of Finance,  Hong Kong University of Science and Technology,  Clear Water Bay, Kowloon, Hong Kong, ChinaCorresponding author"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance,  Hong Kong University of Science and Technology,  Clear Water Bay, Kowloon, Hong Kong, ChinaCorresponding author","institution_ids":["https://openalex.org/I200769079"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.7373,"has_fulltext":false,"cited_by_count":30,"citation_normalized_percentile":{"value":0.88380031,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":99},"biblio":{"volume":"01","issue":"02","first_page":"171","last_page":"186"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0006000000284984708,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/s-p-500-index-options","display_name":"S&P 500 options","score":0.9760000109672546},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"stochastic volatility","score":0.8130000233650208},{"id":"https://openalex.org/keywords/heston-model","display_name":"Heston model","score":0.9940000176429749},{"id":"https://openalex.org/keywords/indirect-inference","display_name":"indirect inference","score":0.7900000214576721},{"id":"https://openalex.org/keywords/option-pricing","display_name":"option pricing","score":0.9359999895095825},{"id":"https://openalex.org/keywords/model-calibration","display_name":"model calibration","score":0.7860000133514404},{"id":"https://openalex.org/keywords/risk-premium","display_name":"risk premium","score":0.5889999866485596},{"id":"https://openalex.org/keywords/volatility-correlation","display_name":"volatility correlation","score":0.6050000190734863},{"id":"https://openalex.org/keywords/black-scholes-model-comparison","display_name":"Black-Scholes model comparison","score":0.7099999785423279},{"id":"https://openalex.org/keywords/pricing-bias","display_name":"pricing bias","score":0.8840000033378601},{"id":"https://openalex.org/keywords/out-of-the-money-options","display_name":"out-of-the-money options","score":0.7720000147819519},{"id":"https://openalex.org/keywords/short-term-options","display_name":"short-term options","score":0.6690000295639038},{"id":"https://openalex.org/keywords/jump-processes","display_name":"jump processes","score":0.4740000069141388}],"concepts":[{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.7442367076873779},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.660740852355957},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.6103983521461487},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5929863452911377},{"id":"https://openalex.org/C93045229","wikidata":"https://www.wikidata.org/wiki/Q5746554","display_name":"Heston model","level":5,"score":0.5860347747802734},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5038225054740906},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.4643822908401489},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.4360455274581909},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4347835183143616},{"id":"https://openalex.org/C2777600642","wikidata":"https://www.wikidata.org/wiki/Q1508707","display_name":"Call option","level":2,"score":0.43241140246391296},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.4195743203163147},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.21089786291122437},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.19642293453216553},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1142/s021986810400021x","doi":"https://doi.org/10.1142/s021986810400021x","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s021986810400021x","pdf_url":null,"source":{"id":"https://openalex.org/S1013915498","display_name":"Journal of Derivatives Accounting","issn_l":"0219-8681","issn":["0219-8681"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Derivatives Accounting","raw_type":"journal-article"},{"id":"pmh:oai:hub.hku.hk:10722/85515","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10722/85515","pdf_url":null,"source":{"id":"https://openalex.org/S4377196271","display_name":"The HKU Scholars Hub (University of Hong Kong)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I889458895","host_organization_name":"University of Hong Kong","host_organization_lineage":["https://openalex.org/I889458895"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"score":0.5299999713897705,"id":"https://metadata.un.org/sdg/17","display_name":"Partnerships for the goals"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":15,"referenced_works":["https://openalex.org/W1991399132","https://openalex.org/W2064978316","https://openalex.org/W2077791698","https://openalex.org/W2080979544","https://openalex.org/W2094206697","https://openalex.org/W2106271302","https://openalex.org/W2129220488","https://openalex.org/W2146848558","https://openalex.org/W2148080284","https://openalex.org/W2278922349","https://openalex.org/W2505771282","https://openalex.org/W3124475197","https://openalex.org/W3124895830","https://openalex.org/W4248104870","https://openalex.org/W4249537869"],"related_works":["https://openalex.org/W7099206283","https://openalex.org/W2118371342","https://openalex.org/W2606864422","https://openalex.org/W1970503778","https://openalex.org/W6992202286","https://openalex.org/W1557581449","https://openalex.org/W7043040045","https://openalex.org/W2517675356","https://openalex.org/W2589088123","https://openalex.org/W7128787464"],"abstract_inverted_index":{"This":[0],"paper":[1],"studies":[2],"the":[3,32,39,46,49,60,65,70,73,77,82,86,102,105,108,111,116,128,134,141,145,149,154,158,161,170,180,196,201,215,224],"price":[4,114,132],"of":[5,104,107,160],"S&P":[6],"500":[7],"index":[8],"options":[9,151],"by":[10,24,95,125,187],"using":[11],"Heston's":[12],"(1993)":[13],"stochastic":[14],"volatility":[15],"option":[16,43,113,130,225],"pricing":[17,185,191],"model.":[18,198],"The":[19,120,165],"Heston":[20,146,166,181,197,202],"model":[21,118,121,131,143,147,167,172,182,203],"is":[22,56,123,163],"calibrated":[23],"a":[25,96],"two-step":[26],"estimation":[27],"procedure":[28],"to":[29,58,222],"incorporate":[30],"both":[31,140],"information":[33,40],"from":[34,41],"time-series":[35],"asset":[36,66,87],"returns":[37],"and":[38,81,89,115,144,152],"cross-sectional":[42,112],"data.":[44],"In":[45,199],"first":[47],"step,":[48,72],"recently":[50],"developed":[51],"simulation-based":[52],"'indirect":[53],"inference":[54],"method'":[55],"used":[57],"estimate":[59],"structural":[61],"parameters":[62],"that":[63,100,139,209],"govern":[64],"return":[67,88],"distribution;":[68],"in":[69,173,195],"second":[71],"risk":[74],"premium,":[75],"\u03bb,":[76],"spot":[78],"variance,":[79],"vt,":[80],"correlation":[83],"coefficient":[84],"between":[85,110],"its":[90],"volatility,":[91],"\u03c1,":[92],"are":[93],"estimated":[94],"nonlinear":[97],"least-squares":[98],"method":[99],"minimizes":[101],"sum":[103],"squares":[106],"error":[109],"corresponding":[117],"price.":[119,136,226],"performance":[122],"assessed":[124],"directly":[126],"comparing":[127],"computed":[129],"with":[133],"market":[135],"We":[137],"find":[138],"Black\u2013Scholes":[142,171],"overprice":[148],"out-of-the-money":[150],"underprice":[153],"in-the-money":[155],"options,":[156,207],"but":[157],"degree":[159],"bias":[162,192],"different.":[164],"significantly":[168],"outperforms":[169],"almost":[174],"all":[175],"moneyness-maturity":[176],"groups.":[177],"On":[178],"average,":[179],"can":[183],"reduce":[184],"errors":[186],"about":[188],"25%.":[189],"However,":[190],"still":[193],"exists":[194],"particular,":[200],"always":[204],"overprices":[205],"short-term":[206],"indicating":[208],"some":[210],"other":[211],"factors,":[212],"such":[213],"as":[214],"random":[216],"jump,":[217],"may":[218],"also":[219],"be":[220],"needed":[221],"explain":[223]},"counts_by_year":[{"year":2026,"cited_by_count":5},{"year":2025,"cited_by_count":2},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":4},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":3},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":2}],"updated_date":"2026-10-12T09:40:04.860316","created_date":"2016-06-24T00:00:00"}