波动率溢价

IF 0.9 Q3 BUSINESS, FINANCE

Quarterly Journal of Finance Pub Date : 2021-03-02 DOI:10.1142/S2010139221500142

Bjørn Eraker

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引用次数: 10

摘要

隐含期权波动率平均每年约为19%，而无条件回报波动率仅为16%左右。这种差异被称为波动率溢价，它是巨大的，并转化为指数期权卖家的巨额回报。本文研究了一个基于长期风险的一般均衡模型来解释溢价。在对过去股票收益和波动率(VIX)数据的模型进行估计时，该模型成功地捕获了溢价，以及波动率冲击与股价之间的巨大负相关。数值模拟验证了指数期权的编写者在均衡状态下获得较高的收益率。JEL分类:G12、G13、C15。*威斯康星大学威斯康星商学院。我感谢Ivan Shaliastovich提供的宝贵研究协助，感谢Ravi Bansal、Tim Bollerslev、Mike Gallmeyer、Mark Ready、George Tauchen以及杜克大学、德克萨斯A&M大学、威斯康星大学和三角计量经济学会议、凯撒利亚年度金融会议和跨国金融学会会议的与会者提供的宝贵意见

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The Volatility Premium

Implied option volatility averages about 19% per year, while the unconditional return volatility is only about 16%. The difference, coined the volatility premium, is substantial and translates into large returns for sellers of index options. This paper studies a general equilibrium model based on long-run risk in an effort to explain the premium. In estimating the model on past data of stock returns and volatility (VIX), the model is successful in capturing the premium, as well as the large negative correlation between shocks to volatility and stock prices. Numerical simulations verify that writers of index options earn high rates of return in equilibrium. JEL classification: G12, G13, C15. ∗Wisconsin School of Business, University of Wisconsin. I thank Ivan Shaliastovich for valuable research assistance, Ravi Bansal, Tim Bollerslev, Mike Gallmeyer, Mark Ready, George Tauchen and seminar participants at Duke University, Texas A&M University, University of Wisconsin and the Triangle Econometrics Conference, Caesarea Annual Finance Conference, and Multinational Finance Society Conference for valuable comments

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来源期刊

Quarterly Journal of Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.