The Review of Financial Studies, Volume 31, Issue 2，September 2016

股票期权中的因子结构

作者：Peter Christoffersen（University of Toronto, CBS and CREATES）

Mathieu Fournier（HEC Montréal）

Kris Jacobs（University of Houston）

摘要：股票期权具有很强的因子结构。股票波动水平、偏度和期限结构的第一主成分解释了横截面变化的很大一部分。此外，这些主要成分分别与标准普尔500指数期权波动率、偏度和期限结构高度相关。我们开发了一个股票期权定价模型来捕捉这一因子结构。该模型预测，市场贝塔值较高的公司具有较高的隐含波动率、较陡的价值状态斜率以及与市场关联度较大的期限结构。该模型提供了一个很好的拟合，并且股票期权数据支持该模型的横截面含义。

The Factor Structure in Equity Options

Peter Christoffersen（University of Toronto, CBS and CREATES）；Mathieu Fournier（HEC Montréal）；Kris Jacobs（University of Houston）

ABSTRACT

Equity options display a strong factor structure. The first principal components of the equity volatility levels, skews, and term structures explain a substantial fraction of the cross-sectional variation. Furthermore, these principal components are highly correlated with the S&P 500 index option volatility, skew, and term structure, respectively. We develop an equity option valuation model that captures this factor structure. The model predicts that firms with higher market betas have higher implied volatilities, steeper moneyness slopes, and a term structure that covaries more with the market. The model provides a good fit, and the equity option data support the model’s cross-sectional implications.

原文链接：http://xueshu.baidu.com/s?wd=paperuri%3A%28928e7d8ba9ec7d9a165ddafa04996144%29&filter=sc_long_sign&tn=SE_xueshusource_2kduw22v&sc_vurl=http%3A%2F%2Fpapers.ssrn.com%2Fabstract%3D2224270&ie=utf-8&sc_us=7239602964429039410

翻译：黄涛