期权定价内核与Icapm

EFA 2006 Zurich Meetings (Archive) Pub Date : 2006-07-19 DOI:10.2139/ssrn.917911

Xiaoquan Liu, M. Brennan, Yihong Xia

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引用次数: 18

摘要

我们估计定价内核的参数，这些参数依赖于描述投资机会集的总财富和状态变量，使用富时100指数和标准普尔500指数期权回报作为要定价的回报。状态变量的系数在定价内核的规格和两个市场之间非常显著和显著一致。结果进一步提供了强有力的证据，这与Merton (1973a)跨期资本资产定价模型一致，即除了市场风险之外，状态变量也被定价。

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Option Pricing Kernels and the Icapm

We estimate the parameters of pricing kernels that depend on both aggregate wealth and state variables that describe the investment opportunity set, using FTSE 100 and S&P 500 index option returns as the returns to be priced. The coefficients of the state variables are highly significant and remarkably consistent across specifications of the pricing kernal, and across the two markets. The results provided further strong evidence, which is consistent with Merton's (1973a) Intertemporal Capital Asset Pricing Model, that state variables in addition to market risk are priced.

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来源期刊

EFA 2006 Zurich Meetings (Archive)

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