The Informational Content of High-Frequency Option Prices

• 成果类型: Article
• 署名作者: Amaya, Diego; Begin, Jean-Francois; Gauthier, Genevieve
• 署名单位: Wilfrid Laurier University; Simon Fraser University; Universite de Montreal; HEC Montreal
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2020.3949
• 发表日期: 2022
• 页码: 2166-2201
• 关键词: High-frequency data; option realized variance; options; jump-diffusion processes

摘要

We propose the option realized variance as an observable variable to summarize the information from high-frequency option data. This variable aggregates intraday option returns from midquote prices to compute an option's total variability for a given day, providing additional information about the jump activity in the data generating process. Using the S&P 500 index time series and options data, this paper documents the performance of this realized measure in predicting the index realized variance as well as the equity and variance risk premiums. We estimate an option pricing model and analyze its parameter estimates. Our results show that excluding high-frequency option information produces significant differences in variance jump parameters, estimated risk premiums, and option pricing errors.