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1、JournalofFinancialEconomics56(2000)407}458Astudytowardsauni"edapproachtothejointestimationofobjectiveandriskneutralqmeasuresforthepurposeofoptionsvaluationMikhailChernov!,*,EricGhysels",#!DivisionofEconomicsandFinance,ColumbiaBusinessSchool,UrisHall,
2、3027Broadway,Room7W,NewYork,NY10027-6902,USA"DepartmentofEconomicsandDepartmentofFinance,ThePennsylvaniaStateUniversity,523KernGraduateBuilding,UniversityPark,PA16802-3305,USA#DepartmentofEconomicsandKenan-FlaglerBusinessSchool,UniversityofNorthCarol
3、ina,ChapelHill,NC27599-3305,USAReceived1October1997;receivedinrevisedform17January2000AbstractThepurposeofthispaperistobridgetwostrandsoftheliterature,onepertainingtotheobjectiveorphysicalmeasureusedtomodelanunderlyingassetandtheotherqWewouldliketoth
4、ankTorbenAndersen,MarkBroadie,StephenBrown,CharlesCao,JeHro(meDetemple,JensJackwerth,EricJacquier,FrankHatheway,RogerLee,KennethSingleton,andespeciallyRonGallantandGeorgeTauchenforinvaluablecommentsandinsightfuldiscussions.Wealsobene"tedgreatlyfromth
5、ecommentsofBillSchwert(theEditor)andtheRefereeswhohelpedusimprovethequalityofourpaper.Inaddition,wethanktheparticipantsoftheNBER/NSFTimeSeriesConferenceheldattheUniversityofChicago,theRISKComputationalandQuantitativeFinanceconference,theNewtonInstitu
6、teWorkshoponEconometricsandFinancialTimeSeries,theThirdAnnualNewEnglandFinanceDoctoralStudentsSymposiumandComputationalFinance99conferencebothheldatNYU,the9thDerivativeSecuritiesConferenceatBostonUniversity,andthe1999WesternFinanceAssociationMeetings
7、,aswellasseminarsatCIRANO,MichiganState,PennState,UniversiteHLibredeBruxelles,theUniversityofMontreal,theUniver-sityofMichigan,andtheUniversityofVirginia.Wearesolelyresponsibleforallremainingerrors.Thematerialinthispapersubsumestwoearlierpapers:&What
8、DataShouldbeUsedtoPriceOptions?'and&FilteringVolatilityandPricingOptions:AComparisonofImpliedVolatility,GARCHandStochasticVolatility'.*Correspondingauthor.Tel.:212-854-8059;fax:212-316-9355.E-mailaddresses:mchernov@columbia.edu(M.Chernov),eghysels@un
