| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19611 |
| 来源ID | Working Paper 19611 |
| Option Prices in a Model with Stochastic Disaster Risk | |
| Sang Byung Seo; Jessica A. Wachter | |
| 发表日期 | 2013-11-07 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | Contrary to the Black-Scholes model, volatilities implied by index option prices depend on the exercise price of the option and are often higher than realized volatilities. We explain both facts in the context of a model that can also explain the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on the international data on large consumption declines. We allow the risk of this rare disaster to be stochastic, which turns out to be crucial to the model's ability to explain both equity volatility and option prices. We explore different specifications for the stochastic rare disaster probability and show that the data favor a multifrequency process. Finally, we show that the model can simultaneously fit the time series of option prices and equities. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w19611 |
| 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/577286 |
| 推荐引用方式 GB/T 7714 | Sang Byung Seo,Jessica A. Wachter. Option Prices in a Model with Stochastic Disaster Risk. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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