| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28941 |
| 来源ID | Working Paper 28941 |
| Option-Implied Spreads and Option Risk Premia | |
| Christopher L. Culp; Mihir Gandhi; Yoshio Nozawa; Pietro Veronesi | |
| 发表日期 | 2021-06-21 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We propose implied spreads (IS) and normalized implied spreads (NIS) as simple measures to characterize option prices. IS is the credit spread of an option’s implied bond, the portfolio long a risk-free bond and short a put option. NIS normalizes IS by the risk-neutral default probability and reflects tail risk. IS and NIS are countercyclical and predict implied bond returns, while neither, like implied volatility, predicts put returns. These opposite predictability results are consistent with a stochastic volatility, stochastic jump intensity model, as put premia increase in volatility but decrease in jump intensity, while implied bond premia increase in both. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w28941 |
| 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/586615 |
| 推荐引用方式 GB/T 7714 | Christopher L. Culp,Mihir Gandhi,Yoshio Nozawa,et al. Option-Implied Spreads and Option Risk Premia. 2021. |
| 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 | ||
| w28941.pdf（877KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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