significantly better than the corresponding benchmark model estimated on return data alone. Hence the paper provides evidence on the …

affine models both in terms of fitting return and in terms of option valuation. For the affine models we find strong evidence … in favor of the component structure for both returns and options, but for the non-affine models the evidence is much less … strong in option valuation. The evidence in favor of the non-normal models is strong when fitting daily returns, but the non …

data set. Monte Carlo evidence and an empirical illustration using Danish data shows that this procedure can indeed improve …