Smooth ambiguity preferences and asset prices with a jump-diffusion process
Smooth ambiguity preferences and asset prices with a jump-diffusion process
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通过跳跃扩散过程平滑模糊偏好和资产价格
DOI：
10.1080/14697688.2021.2016922
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发表时间：
2022
影响因子：
1.3
通讯作者：
Masataka Suzuki
中科院分区：
文献类型：
--
作者：
Takayoshi Nakaoka;David Saal;and Pablo Arocena;中岡孝剛;中岡孝剛，庄司豊，吉原清嗣;中岡孝剛;中岡孝剛;中岡孝剛;Masataka Suzuki
通过在智能体的消费过程中引入泊松跳跃分量，扩展了连续时间平滑模糊偏好模型。在此背景下，我们考察了布朗运动和泊松跳过程的模糊性对资产价格的影响。使用合理的偏好参数值，我们的模型复制了美国资产收益的历史时刻，包括股票溢价、股票波动率和无风险利率。我们的模型还产生了大量的股票差异溢价和与美国数据一致的股票期权波动率曲线温和向下倾斜。此外，我们的模型捕捉到了方差溢价相对于股票回报的预测能力。
The present study extends the continuous-time smooth ambiguity preferences model by introducing a Poisson jump component into the agent's consumption process. Under this setting, we examine the effect of ambiguity with respect to both Brownian motion and a Poisson jump process on asset prices. Using reasonable values for preferences parameters, our model replicates historical moments of the U.S. asset returns, including the equity premium, equity volatility, and risk-free rate. Our model also generates substantial equity variance premium and a mildly downward sloping volatility curve of equity options that are consistent with the U.S. data. In addition, our model captures the predictive power of the variance premium with respect to equity returns.