Earticle

초록

영어

This paper investigates which risk premium plays a key role in explaining index option returns. We find that variance risk premium is necessary to explain the option returns by (i) using discrete-time option pricing models which can reflect variance risk premium properly even for short-term, in order to overcome the limitation of continuous-time stochastic volatility models, and (ii) examining various types of index option returns that provide more definite analysis on the impact of risk premiums on the option returns. Variance risk premium can explain the 1-month holding period returns of 2-month maturity straddles which are significantly negative as well as the call returns which are decreasing with moneyness and negative for outof- the-money. On the contrary, jump risk premium that previous studies emphasize for option returns cannot account for the two observed facts. These results come from the ability of risk premiums to capture the wedge between the physical and riskneutral volatilities which substantially determines option returns.

목차

Abstract
 1. Introduction
 2. Option Pricing Models
  2.1. Asset dynamics under the physical measure
  2.2. Risk-Neutralization
  2.3. Asset dynamics under the risk-neutral measure
  2.4. Five Nested Models
 3. Methodology
  3.1. Expected option returns
  3.2. Finite-sample distribution
  3.3. Parameter estimation
 4. Results
  4.1. Data
  4.2. Parameter estimates
  4.3. Option returns
  4.4. Option portfolio returns
 5. Discussion
  5.1. Role of diffusive risk premium
  5.2. Role of jump risk premium
  5.3. Role of variance risk premium
  5.4. Comparison with the previous research
  5.5. Robustness check
 6. Conclusion
 Appendix
 References
 Table

저자

• Suk Joon Byun [ KAIST Business School, Korea ] Corresponding author
• Byungsun Min [ KAIST Business School, Korea ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330