Option Valuation with Nonmonotonic Pricing Kernel and Embedded Volatility Component Premiums
學年 111
學期 2
出版（發表）日期 2023-05-01
作品名稱 Option Valuation with Nonmonotonic Pricing Kernel and Embedded Volatility Component Premiums
作品名稱（其他語言）
著者 Hsuan-Ling Chang, Hung-Wen Cheng, Yi-Ding Lei, Jeffrey Tzuhao Tsai
單位
出版者
著錄名稱、卷期、頁數 Journal of Derivatives
摘要 This article develops a nonmonotonic pricing kernel with long-run and short-run variance risk premiums for option valuation, with a proposed pricing kernel retaining a U-shaped pattern that significantly improves the fitting ability for index options pricing and implied volatility. The estimation results show that the long-run volatility component is critical in generating the negative risk premium. In the in-sample and out-of-sample tests, the model with the new pricing kernel has more accurate predictions, especially the year around the financial crisis, wherein there is a decrease of an average of 35% root mean square error relative to the benchmark. Considering the bull and bear market states, our model improves implied volatility root mean square error by 23% on average.
關鍵字
語言 en_US
ISSN 1074-1240; 2168-8524
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者
審稿制度 否
國別 USA
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/122907 )