Volatility and Expected Option Returns
Volatility and Expected Option Returns
复制标题
波动性和预期期权回报
DOI：
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发表时间：
2017
影响因子：
3.9
通讯作者：
Kris Jacobs
中科院分区：
文献类型：
--
作者：
Guanglian Hu;Kris Jacobs
我们分析了期权的期望收益率与标的证券的波动率之间的关系。持有看涨（看跌）期权的预期收益是标的资产波动率的减（增）函数。这些预测得到了数据的支持。在股票期权收益率的横截面中，看涨（看跌）期权组合的收益率随着标的股票的波动率而减少（增加）。这一发现并不是由于预期股票收益的横截面变化。它适用于不同期限和货币性的各种期权样本，并且对潜在波动率的替代措施和不同的加权方法具有鲁棒性。
We analyze the relation between expected option returns and the volatility of the underlying securities. The expected return from holding a call (put) option is a decreasing (increasing) function of the volatility of the underlying. These predictions are supported by the data. In the cross section of equity option returns, returns on call (put) option portfolios decrease (increase) with underlying stock volatility. This finding is not due to cross-sectional variation in expected stock returns. It holds in various option samples with different maturities and moneyness, and is robust to alternative measures of underlying volatility and different weighting methods.