Black F, Scholes M. The pricing of options and corporate liabilities [J]. Journal of Political Economy, 1973, 81(3): 637-654.
[2]
Black F. Studies of stock price volatility changes [C]. Proceedings of the 1976 Meeting of Business and Economic Statistics Section, American Statistical Association, 1976.
[3]
Christie A A. The stochastic behavior of common stock variances: value, leverage, and interest rate effects[J]. Journal of Financial Economics, 1982, 10(4): 407-432.
[4]
Cox J C, Ross S A. The valuation of options for alternative stochastic processes[J]. Journal of Financial Economics, 1976, 3(1-2): 145-166.
[5]
Merton R C. Option pricing when underlying stock returns are discontinuous[J]. Journal of Financial Economics, 1976, 3(1-2): 125-144.
[6]
Hull J C, White A D. The pricing of options on asset with stochastic volatilities[J]. Journal of Finance, 1987, 42(2): 281-300.
[7]
Stein E M, Stein J C. Stock price distributions with stochastic volatility: an analytic approach[J]. Review of Financial Studies, 1991, 4: 727-752.
[8]
Heston S L. A closed-form solution for options with stochastic volatility with applications to bond and currency options [J]. Review of Financial Studies, 1993, 6(2): 327-343.
[9]
Andersen T G, Benzoni L, Lund J. Estimating jump-diffusions for equity returns[J]. Journal of Finance, 2002, 57: 1239-1284.
[10]
Chacko G, Viceira L. Spectral GMM estimation of continuous-time processes[J]. Journal of Econometrics, 2003, 116: 259-292.
[11]
Chernov M, Gallant A R, Ghysels E, Tauchen G. Alternative models for stock price dynamics [J]. Journal of Econometrics, 2003, 116: 225-257.
[12]
Jones C. The dynamics of stochastic volatility: evidence from underlying and options markets [J]. Journal of Econometrics, 2003, 116: 181-224.
[13]
Ait-Sahalia Y, Kimmel R. Maximum likelihood estimation of stochastic volatility models[J]. Journal of Financial Economics, 2007, 83: 413-452.
[14]
Chourdakis K. Non-affine option pricing [J]. Journal of Derivatives, 2004, 11(3): 10-25.
[15]
Christoffersen P, Jacobs K, Mimouni K. An empirical comparison of affine and non-affine models for equity index options [R]. Working Paper, 2006.
[16]
Christoffersen P, Jacobs K, Mimouni K. Volatility dynamics for the S&P 500: evidence from realized volatility, daily returns, and option prices[J]. Review of Financial Studies, 2010, 23(8): 3141-3189.
[17]
Durham G B. Risk-neutral modelling with affine and non-affine models [R]. Working Paper, 2010.
[18]
Hansis A. Affine versus non-affine stochastic volatility and the impact on asset allocation [R]. Working Paper, 2010.
[19]
Ignatieva K, Rodrigues P J M, Seeger N. Stochastic volatility and jumps: exponentially affine yes or no? an empirical analysis of S&P 500 dynamics[R]. Working Paper, 2009.
[20]
Chourdakis K, Dotsis G. Maximum likelihood estimation of non-affine volatility processes[J]. Journal of Empirical Finance, 2011, 18(3): 533-545.
[21]
Drimus G G. Options on realized variance by transform methods: a non-affine stochastic volatility model[J]. Quantitative Finance, forthcoming, 2012.
[22]
Carr P, Madan D. Option valuation using the fast Fourier transform[J]. Journal of Computational Finance, 1999, 2: 61-73.
[23]
Yu Jun. On leverage in a stochastic volatility model[J]. Journal of Econometrics, 2005, 127: 165-178.
[24]
Chan K C, Karolyi G A, Longstaff F A, et al. An empirical comparison of alternative models of the short-term interest rate[J]. Journal of Finace, 1992, 47(3): 1209-1227.
[25]
Nelson D B. ARCH models as diffusion approximations[J]. Journal of Econometrics, 1990, 45: 7-38.
[26]
Kevorkian J, Cole J D. Perturbation methods in applied mathematics[M]. New York: Springer-Verlag, 1981.
[27]
Mikhailov S, Nogel U. Heston's stochastic volatility model implementation, calibration and some extensions[M]//Wilmott P.The best of Wilmott.Chichester:John Wiley & Sons,2005.