In this study, we compare the pricing and hedging performance of options-pricing models using two parameter-estimation methods to employ cross-sectional options data with multiple maturities. In the Portfolio of Volatility Smiles method, each set of parameters that describe the individual volatility smile for each maturity is estimated separately. In the Volatility Surface method, a single-parameter set that describes the entire volatility surface is estimated, regardless of the time-to-maturity. When pricing and hedging options with various times to maturity, the Portfolio of Volatility Smiles method generally outperforms the Volatility Surface method, irrespective of the option-pricing model used, maturity, and moneyness. Considering the volatility smile individually at each maturity is more effective in pricing and hedging options than is considering the volatility surface simultaneously.

中文翻译：

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波动率微笑与波动率表面的投资组合：对定价和对冲期权的影响

在这项研究中，我们使用两种参数估计方法来比较期权定价模型的定价和对冲性能，以采用具有多个到期日的横截面期权数据。在 Portfolio of Volatility Smiles 方法中，描述每个期限的个体波动率微笑的每组参数是单独估计的。在波动率表面方法中，无论到期时间如何，都会估计描述整个波动率表面的单个参数集。当对不同到期时间的期权进行定价和对冲时，波动率组合微笑方法通常优于波动率表面方法，无论使用的期权定价模型、到期日和货币性如何。