Option Valuation with Volatility Components, Fat Tails, and Nonmonotonic Pricing Kernels

被引：30

作者：

Babao, Kadir ^{[1
]}

Christoffersen, Peter ^{[2
,3
,4
]}

Heston, Steven ^{[5
]}

Jacobs, Kris ^{[6
]}

机构：

[1] RBC Capital Markets, Toronto, ON, Canada

[2] Univ Toronto, Rotman Sch Management, Toronto, ON, Canada

[3] Copenhagen Business Sch, Copenhagen, Denmark

[4] CREATES, Copenhagen, Denmark

[5] Univ Maryland, Smith Sch Business, College Pk, MD 20742 USA

[6] Univ Houston, Bauer Coll Business, Houston, TX 77004 USA

来源：

REVIEW OF ASSET PRICING STUDIES | 2018年 / 8卷 / 02期

关键词：

D O I：

10.1093/rapstu/rax021

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We nest multiple volatility components, fat tails, and a U-shaped pricing kernel in a single option model and compare their contribution in describing returns and option data. All three features lead to statistically significant model improvements. A U-shaped pricing kernel is economically most important and improves option fit by 17%, on average, and more so for two-factor models. A second volatility component improves the option fit by 9%, on average. Fat tails improve option fit by just over 4%, on average, but more so when a U-shaped pricing kernel is applied. Overall, these threemodel features are complements rather than substitutes: the importance of one feature increases in conjunction with the others.

引用

页码：183 / 231

页数：49

共 48 条

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