This study suggests a method to estimate a stochastic volatility model incorporating both information on high/low prices and the leverage effect. The likelihood‐based inference of Markov Chain Monte Carlo is conducted to estimate parameters and volatility. Simulation reveals that our method improves estimation and pricing options. We also find that the information on high/low prices is more likely to contribute to the improvement than the leverage effect.

中文翻译：

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随机波动率和期权价格的估计

这项研究提出了一种估计随机波动率模型的方法，该模型结合了有关高/低价格的信息和杠杆效应。进行了基于马尔可夫链蒙特卡罗的似然性推断，以估计参数和波动率。仿真表明，我们的方法改进了估计和定价选项。我们还发现，有关高/低价格的信息比杠杆效应更可能对改善有所帮助。