Abstract This paper derives the theoretical skewness in a five-factor affine jump-diffusion model with stochastic variance and jump intensity, and jumps in prices and variances. Numerical analysis shows that all of the uncertainties in this model affect skewness. The information regarding jumps in prices is mainly reflected in the short-term skewness. The skewness for other maturities carries the information that is highly correlated with variance. Furthermore, the theoretical VIX and skewness under a simplified five-factor model are used to fit the market risk-neutral volatility and skewness sequentially. The fitting performances are better than traditional double-jump models.

中文翻译：

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在仿射跳跃扩散下剖析偏度

摘要 本文推导了具有随机方差和跳跃强度以及价格和方差跳跃的五因子仿射跳跃扩散模型的理论偏度。数值分析表明，该模型中的所有不确定性都会影响偏度。价格上涨的信息主要体现在短期偏度上。其他期限的偏度携带与方差高度相关的信息。此外，简化的五因素模型下的理论 VIX 和偏度用于依次拟合市场风险中性波动率和偏度。拟合性能优于传统的双跳模型。