Journal of Finance, Volume 72,Issue 3,June 2017,Pages 1335-1386

单周期权隐含的短期市场风险

作者：Torben G. Andersen (Northwestern University), Nicola Fusari (The Johns Hopkins University), Viktor Todorov (Northwestern University)

摘要：本文研究短期（单周）的标普500指数期权，该期权提供了直接分析波动性和跳跃风险方法。与更长期限的期权不同，它们对经济环境中跨期转移风险大部分不敏感。本文通过采用一种新颖的半参数方法，发现负的跳跃尾部风险变化，而该变化并未被市场波动所涵盖，同时该变化有助于预测未来的股权收益。因此，我们的方法可以很容易地识别出负尾事件的高度关注期，该事件也并非总是通过市场波动水平“发出信号”，同时负尾事件无法被标准资产定价模型所解释。

Short-Term Market Risks Implied by Weekly Options

Torben G. Andersen (Northwestern University), Nicola Fusari (The Johns Hopkins University), Viktor Todorov (Northwestern University)

ABSTRACT

We study short-maturity (“weekly”) S&P 500 index options, which provide a direct way to analyze volatility and jump risks. Unlike longer-dated options, they are largely insensitive to the risk of intertemporal shifts in the economic environment. Adopting a novel seminonparametric approach, we uncover variation in the negative jump tail risk, which is not spanned by market volatility and helps predict future equity returns. As such, our approach allows for easy identification of periods of heightened concerns about negative tail events that are not always “signaled” by the level of market volatility and elude standard asset pricing models.

原文链接：http://onlinelibrary.wiley.com/doi/10.1111/jofi.12486/full

翻译：秦秀婷