论文标题
随着时变的波动风险规避期权定价
Option Pricing with Time-Varying Volatility Risk Aversion
论文作者
论文摘要
我们介绍了一个定价内核，并具有随时间变化的风险规避，以解释定价内核形状的观察到时间变化。当与Heston-Nandi Garch模型结合使用时，该框架会产生可拖动的选项定价模型，其中差异风险比（VRR）作为关键变量出现。我们表明，VRR与经济基本面以及情绪和不确定性措施密切相关。一种新颖的近似方法提供了分析选项定价公式，我们通过经验应用到标准普尔500指数，CBOE VIX和期权价格来证明定价错误的大幅降低。
We introduce a pricing kernel with time-varying volatility risk aversion to explain observed time variations in the shape of the pricing kernel. When combined with the Heston-Nandi GARCH model, this framework yields a tractable option pricing model in which the variance risk ratio (VRR) emerges as a key variable. We show that the VRR is closely linked to economic fundamentals, as well as sentiment and uncertainty measures. A novel approximation method provides analytical option pricing formulas, and we demonstrate substantial reductions in pricing errors through an empirical application to the S&P 500 index, the CBOE VIX, and option prices.
