Jump variance risk: Evidence from option valuation and stock returns

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/119379

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题名:	Jump variance risk: Evidence from option valuation and stock returns
作者:	Chang, Hsuan‐Ling;Chang, Yen‐Cheng;Cheng, Hung‐Wen;Peng, Po‐Hsiang;Tseng, Kevin
关键词:	jump variance risk;nonmonotonic pricing kernel;option valuation;return predictability
日期:	2019-04-22
上传时间:	2020-10-20 12:10:33 (UTC+8)
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.
關聯:	The Journal of Futures Markets 39(7), p.890-915
DOI:	10.1002/fut.22009
显示于类别:	[財務金融學系暨研究所] 期刊論文

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