早期运动风险溢价

K. Aretz, A. Gazi
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引用次数: 3

摘要

我们研究了能够最优地提前行使普通看跌期权的资产定价含义,对比了等效的美国和欧洲看跌期权的预期收益。具有随机波动率和资产价值跳跃的标准定价模型表明,这些期权类型之间的预期收益差是正的,可以在经济上相当可观,并且随着较高的早期行使概率而扩大,这是由较高的货币性、较短的到期日或较低的标的资产波动率引起的。研究了单股美式看跌期权和将看跌期权平价应用于零股息股票美式看跌期权形成的等效综合欧式期权,我们的实证工作支持了我们的预测。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Early Exercise Risk Premium
We study the asset pricing implications of being able to optimally early exercise a plain-vanilla put option, contrasting the expected returns of equivalent American and European put options. Standard pricing models with stochastic volatility and asset-value jumps suggest the expected return spread between those option types is positive, can be economically sizable, and widens with a higher early exercise probability, as induced through a higher moneyness, shorter time-to-maturity, or lower underlying-asset volatility. Studying single-stock American put options and equivalent synthetic European options formed from applying put-call parity to American call options on zero-dividend stocks, our empirical work supports our predictions.
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