General Equilibrium Pricing of Options with Habit Formation and Event Risks
General Equilibrium Pricing of Options with Habit Formation and Event Risks
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具有习惯形成和事件风险的期权的一般均衡定价
DOI：
10.1016/j.jfineco.2010.09.001
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发表时间：
2009
期刊：
影响因子：
--
通讯作者：
Du Du
中科院分区：
文献类型：
--
作者：
Du Du
本文提出了一个解释S指数期权定价的一般均衡模型。核心因素是消费增长率中的比索成分，以及习惯形成引起的随时间变化的风险厌恶情绪，习惯形成放大了消费冲击。放大效应会产生超额波动率和较大的跳跃风险溢价，这两者结合在一起，就会对指数期权产生明显的波动率傻笑。时变的波动性和跳跃风险溢价解释了观察到的依赖于状态的傻笑模式。除了波动性的自鸣得意之外，该模型还有许多其他含义，这些含义与股票和期权市场的总体数据大体一致。
This paper proposes a general equilibrium model that explains the pricing of the S&P 500 index options. The central ingredients are a peso component in the consumption growth rate and the time-varying risk aversion induced by habit formation which amplifies consumption shocks. The amplifying effect generates the excess volatility and a large jump-risk premium which combine to produce a pronounced volatility smirk for index options. The time-varying volatility and jump-risk premiums explain the observed state-dependent smirk patterns. Besides volatility smirks, the model has a variety of other implications which are broadly consistent with the aggregate stock and option market data.