全球智库信息集成服务系统(G2TT): Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options

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来源类型	Working Paper
规范类型	报告
DOI	10.3386/w10912
来源ID	Working Paper 10912
	Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options
	Pedro Santa-Clara; Shu Yan
发表日期	2004-11-22
出版年	2004
语种	英语
摘要	We use a novel pricing model to filter times series of diffusive volatility and jump intensity from S&P 500 index options. These two measures capture the ex-ante risk assessed by investors. We find that both components of risk vary substantially over time, are quite persistent, and correlate with each other and with the stock index. Using a simple general equilibrium model with a representative investor, we translate the filtered measures of ex-ante risk into an ex-ante risk premium. We find that the average premium that compensates the investor for the risks implicit in option prices, 10.1 percent, is about twice the premium required to compensate the same investor for the realized volatility, 5.8 percent. Moreover, the ex-ante equity premium that we uncover is highly volatile, with values between 2 and 32 percent. The component of the premium that corresponds to the jump risk varies between 0 and 12 percent.
主题	Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w10912
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/568547
推荐引用方式 GB/T 7714	Pedro Santa-Clara,Shu Yan. Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options. 2004.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w10912.pdf（317KB）	智库出版物		限制开放	CC BY-NC-SA	浏览