Nonparametric Continuous-time Stochastic Volatility Model Under Option Pricing

Nowadays, continuous-time stochastic volatility models are the mainstream of the option pricing research. As a response to the changes of the underlying asset's investment returns, volatility is affected by many aspects. Its random feature is proved based on extensive research. Stochastic volatility shows both volatility smile and term structure of volatility. Therefore, the continuous-time stochastic volatility models make a better simulation of the underlying asset's price movement, and lay the foundation for the subject of the option pricing.Based on a total of 253 stock data of trading days from November 5,2010 to November 5,2011., which are collected from the DELL corporation. Study the nonparametric estimation of the continuous-time stochastic volatility models as follows:In chapter 1 we first reviewed the fruit of continuous-time models estimation in theory and applications, and then discussed the nonparametric specification test problem in continuous-time models.In chapter 2,we summarized some relevant knowledge, including the factors of option pricing,several typical continous-time stochastic volatility models,and nonparametric estimation methods.The estimation methods of the parameters to the model was described in the 3 chapter. The 4 chapter is the simulation analysis,in order to determine the choice of the model specification and the methods are reasonable. The last chapter is the empirical research, obtion the final estimates by the sample data.and the results shows that the nonparametric estimation can be a good fit to the option pricing process.