Journal of Financial & Quantitative Analysis. Volume 51, Issue 4, August 2016

宏观金融变量在期权定价中的运用

作者：Christian Dorion (Christian Dorion)

摘要：本文提出了一个用宏观金融变量部分确定期权价格的定价模型。运用当前经济周期指数数据，在拟合标的资产收益率与期权定价时，该模型的表现超过了现存的基准模型。该模型的优越性在经济衰退时期表现得尤其突出。利用近期金融危机作样本外检测，新模型给期权定价的误差为18%，低于二分量波动基准模型。利用可选择的经济周期的代理变量进行检验的结果是稳健的，并且要显著优于不同的基准模型。

Option Valuation with Macro-Finance Variables

Christian Dorion (Christian Dorion)

ABSTRACT

I propose a model in which the price of an option is partly determined by macro-finance variables. In an application using an index of current business conditions, the new model outperforms existing benchmarks in fitting underlying asset returns and in pricing options. The model performs particularly well when business conditions are deteriorating. Using the recent financial crisis as an out-of-sample experiment, the new model has option-pricing errors that are 18% below those of a nested 2-component volatility benchmark. Results are robust to using alternative business conditions proxies and comparing to different benchmark models.

原文链接: https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/option-valuation-with-macrofinance-variables/B3C9B3A61E6F10DFE909FA19408CA46C

翻译：汪国颂