Recovering subjective probability distributions
Recovering subjective probability distributions
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恢复主观概率分布
DOI：
10.1002/fut.22328
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发表时间：
2022
影响因子：
1.9
通讯作者：
Yamazaki Akira
中科院分区：
文献类型：
--
作者：
Yoshioka Hidekazu;Tanaka Tomomi;Aranishi Futoshi;Tsujimura Motoh;Yoshioka Yumi;Yamazaki Akira
本文提出了一种直接估计期权价格主观概率分布的方法。我们发现主观累积分布函数和主观统计量被表示为由普通期权组成的静态投资组合。期权的投资组合权重由定价核的倒数水平和它们的差异决定。利用期权数据，我们研究了标准普尔500指数收益的主观概率分布的历史行为。我们还分析了主观权益风险溢价和主观方差风险溢价，它们可以看作事前风险溢价。
This study proposes a direct estimation method for recovering subjective probability distributions from option prices. We find that the subjective cumulative distribution function and subjective statistics are represented as static portfolios composed of plain vanilla options. The portfolio weights of the options are determined by the levels of the reciprocal of the pricing kernel and their differentiation. Using options data, we investigate the historical behavior of subjective probability distributions of returns on the S&P 500 index. We also analyze subjective equity risk premiums and subjective variance risk premiums, which can be regarded as ex ante risk premiums.