期刊論文
| 學年 | 111 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2023-05-01 |
| 作品名稱 | Option Valuation with Nonmonotonic Pricing Kernel and Embedded Volatility Component Premiums |
| 作品名稱（其他語言） | |
| 著者 | Hsuan-Ling Chang, Hung-Wen Cheng, Yi-Ding Lei, Jeffrey Tzuhao Tsai |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Journal of Derivatives |
| 摘要 | This article develops a nonmonotonic pricing kernel with long-run and short-run variance risk premiums for option valuation, with a proposed pricing kernel retaining a U-shaped pattern that significantly improves the fitting ability for index options pricing and implied volatility. The estimation results show that the long-run volatility component is critical in generating the negative risk premium. In the in-sample and out-of-sample tests, the model with the new pricing kernel has more accurate predictions, especially the year around the financial crisis, wherein there is a decrease of an average of 35% root mean square error relative to the benchmark. Considering the bull and bear market states, our model improves implied volatility root mean square error by 23% on average. |
| 關鍵字 | |
| 語言 | en_US |
| ISSN | 1074-1240; 2168-8524 |
| 期刊性質 | 國外 |
| 收錄於 | SSCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | USA |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/122907 ) |