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Risk premia implied by option returns.

Bachmann, Reto Andreas.

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Risk premia implied by option returns.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Risk premia implied by option returns./
作者:	Bachmann, Reto Andreas.
面頁冊數:	183 p.
附註:	Adviser: George M. Constantinides.
Contained By:	Dissertation Abstracts International61-07A.
標題:	Business Administration, Banking. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=9978009
ISBN:	0599843152

Risk premia implied by option returns.
Bachmann, Reto Andreas.

Risk premia implied by option returns. - 183 p.

Adviser: George M. Constantinides.

Thesis (Ph.D.)--The University of Chicago, 2000.

Despite the fact that correctly specified Risk Premia are of paramount importance in the pricing of options, current option pricing models impose ad-hoc functional forms. These forms are motivated neither by theory nor by empirical evidence, but usually by mathematical convenience. Such an approach is likely to lead to misspecified option pricing models. The present paper offers an alternative approach: A method to nonparametrically estimate the Market Prices of Risk implied by option returns. The method is put to the test by using it to estimate the Market Prices of volatility and of riskfree rate Risk implied by S&P 500 Index option returns. The estimated Market Price of riskfree rate Risk is indistinguishable from zero, confirming indirect evidence previously reported in the literature. The estimated Market Price of volatility Risk implies a volatility Risk Premium that is negative, downward sloping, concave, and of the same magnitude as the volatility's drift under the physical measure. The estimation results reveal sources of misspecification in parametric option pricing models and confirm existing anecdotal evidence about the volatility Risk Premium's qualitative nature. They also support recent parametric evidence on the volatility's risk-neutral drift. However, a further investigation uncovers strong evidence that a pure diffusion stochastic volatility model cannot match both option returns and option prices. The inability of any such model to reconcile option prices with option returns highlights the need for a richer specification of the model's state variable dynamics.

ISBN: 0599843152Subjects--Topical Terms:

1018458
Business Administration, Banking.

Risk premia implied by option returns.
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