The jump-risk premia implicit in options: evidence from an integrated time-series study

• 成果类型: Article
• 署名作者: Pan, J
• 署名单位: Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(01)00088-5
• 发表日期: 2002
• 页码: 3-50
• 关键词: Option pricing; stochastic volatility; Jump-risk premium; implied-state generalized method of moments; volatility smiles and smirks

摘要

This paper examines the joint time series of the S&P 500 index and near-the-money short-dated option prices with an arbitrage-free model, capturing both stochastic volatility and jumps. Jump-risk premia Uncovered from the joint data respond quickly to market volatility, becoming more prominent during volatile markets. This form of jump-risk premia is important not only in reconciling the dynamics implied by the joint data, but also in explaining the volatility smirks of cross-sectional options data. (C) 2002 Elsevier Science S.A. All rights reserved.