教師資料查詢 | 類別: 期刊論文 | 教師: 張瑄凌 HSUAN-LING CHANG (瀏覽個人網頁)

標題:Jump variance risk: Evidence from option valuation and stock returns
學年107
學期2
出版(發表)日期2019/04/22
作品名稱Jump variance risk: Evidence from option valuation and stock returns
作品名稱(其他語言)
著者Hsuan‐Ling Chang; Yen‐Cheng Chang; Hung‐Wen Cheng; Po‐Hsiang Peng; Kevin Tseng
單位
出版者
著錄名稱、卷期、頁數The Journal of Futures Markets 39(7), p.890-915
摘要We study jump variance risk by jointly examining both stock and option markets. We develop a GARCH option pricing model with jump variance dynamics and a nonmonotonic pricing kernel featuring jump variance risk premium. The model yields a closed‐form option pricing formula and improves in fitting index options from 1996 to 2015. The model‐implied jump variance risk premium has predictive power for future market returns. In the cross‐section, heterogeneity in exposures to jump variance risk leads to a 6% difference in risk‐adjusted returns annually.
關鍵字jump variance risk;nonmonotonic pricing kernel;option valuation;return predictability
語言英文(美國)
ISSN1096-9934
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度
國別美國
公開徵稿
出版型式,電子版
相關連結
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