The jump leverage risk premium

• 成果类型: Article
• 署名作者: Bollerslev, Tim; Todorov, Viktor
• 署名单位: Duke University; Northwestern University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.103723
• 发表日期: 2023
• 关键词: Jumps; options; Tail risk; Leverage effect; RISK PREMIUMS; VIX index

摘要

Jumps in asset prices are ubiquitous, yet the apparent high price of jump risk observed empirically is commonly viewed as puzzling. We develop new model-free short-time risk-neutral variance expansions, allowing us to clearly delineate the importance of jumps in generating both price and variance risks. We find that simultaneous jumps in the price and the stochastic volatility and/or jump intensity of the market commands a sizeable risk premium. The existence of jump leverage risk premium may be rationalized in the context of equilibrium-based models by jumps in the conditional moments of the underlying fundamentals and/or changes in investors' risk aversion.