We propose a methodology to measure the parameter estimation risk and model specification risk of pricing models, as well as model selection risk of model classes, based on realized payoffs, for products in the over-the-counter market. Lévy jump models and affine jump-diffusion models are applied in estimating the fair variance strikes of variance swaps and forward starting option prices. Our results show that both parameter estimation risk and model specification risk are significant for variance swaps, while model specification risk is dominant when pricing forward starting options. We also find that the size of the model selection risk is substantial for both products.

我们提出了一种方法来衡量定价模型的参数估计风险和模型规范风险，以及基于实现收益的模型类别的模型选择风险，用于场外交易市场中的产品。Lévy 跳跃模型和仿射跳跃扩散模型用于估计方差掉期和远期起始期权价格的公平方差罢工。我们的结果表明，参数估计风险和模型规范风险对方差互换都很重要，而模型规范风险在定价远期启动期权时占主导地位。我们还发现，这两种产品的模型选择风险都很大。