随机跳跃强度与期权隐含风险溢酬

Stochastic jump intensity and option implied risk premiums

基于随机波动率随机跳跃强度(SVSJ)的期权定价模型,从时间序列性质与横截面期权定价两个角度对长达12年的S&P 500指数期权数据进行了研究.实证结果发现:只有短期虚值期权与短期平值期权中存在显著的跳跃风险溢酬,并且跳跃风险溢酬远超过波动率风险溢酬.不同模型不同跳跃强度的设定都可以估计出显著的跳跃风险溢酬,虽然跳跃风险的方差在总风险的方差中所占比例较低,但跳跃风险溢酬在总风险溢酬中所占的比例却大得多.各模型在高波动时期的表现都要优于低波动时期,其中SVSJ模型在所有模型中表现最好.

Based on a stochastic volatility and stochastic jump intensity （SVSJ） option pricing model, this pa- per gives a thorough study of the S＆P 500 index options. The empirical results show that significant jump pre- miums only exist in short term out-of-the-money options and short term at-the-money options, and the jump premium is much larger than the volatility premium. With different model specifications, the paper finds that although the contribution of jump variances to the total variance is quite small, jump premium accounts for a large proportion of total risk premium. For all model specifications, all the model sperform better in high vola- tility periods than in low volatility periods. Among these models, the SVSJ model has the greatest pricing efficiency.