Option Pricing with Time-Varying Volatility Risk Aversion

• 成果类型: Article
• 署名作者: Hansen, Peter Reinhard; Tong, Chen
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; Xiamen University; Xiamen University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhaf063
• 发表日期: 2026-03
• 页码: 875-924
• 关键词: G12; G13; C51; C52; EMPIRICAL PERFORMANCE; Investor sentiment; KERNEL PUZZLE; variance; returns; models; news; valuation; prices; IMPACT

摘要

We introduce a pricing kernel with time-varying volatility risk aversion to explain the observed time variations in the shape of the pricing kernel. When combined with the Heston-Nandi GARCH model, this framework yields a tractable option pricing model in which the variance risk ratio (VRR) emerges as a key variable. We show that the VRR is closely linked to economic fundamentals, as well as sentiment and uncertainty measures. A novel approximation method provides analytical option pricing formulas, and we demonstrate substantial reductions in pricing errors through an empirical application to the S&P 500 index, the CBOE VIX, and option prices.