Model specification and risk premia: Evidence from futures options

• 成果类型: Article
• 署名作者: Broadie, Mark; Chernov, Mikhail; Johannes, Michael
• 署名单位: Columbia University; University of London; London Business School
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2007.01241.x
• 发表日期: 2007
• 页码: 1453-1490
• 关键词: volatility; jump; valuation

摘要

This paper examines model specification issues and estimates diffusive and jump risk premia using S&P futures option prices from 1987 to 2003. We first develop a time series test to detect the presence of jumps in volatility, and find strong evidence in support of their presence. Next, using the cross section of option prices, we find strong evidence for jumps in prices and modest evidence for jumps in volatility based on model fit. The evidence points toward economically and statistically significant jump risk premia, which are important for understanding option returns.