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摘要翻译：
根据波动反馈效应，平方波动率的意外增加导致价格股利比立即下降。本文通过对股票价格、股利和波动率在连续时间内的联合动态进行建模，研究了波动率反馈效应下股票价格动态和期权定价的性质。最重要的是，我们的模型预测了平方收益波动率的增加对深埋看涨期权价值的负面影响，并试图解释波动率之谜。我们从理论上论证了扩散收益风险或股票风险溢价的市场价格影响期权价格的机制，并从实证上说明了如何利用期权合约的前瞻性信息来识别这种机制。我们的理论和实证结果支持了波动反馈效应的相关性。总体而言，研究结果表明，在期权定价中忽视时变股利收益率的普遍做法会导致股票市场动力学的过度简单化。
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英文标题：
《Stock Price Dynamics and Option Valuations under Volatility Feedback
Effect》
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作者：
Juho Kanniainen and Robert Pich\'e
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最新提交年份：
2012
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect by modeling the joint dynamics of stock price, dividends, and volatility in continuous time. Most importantly, our model predicts the negative effect of an increase in squared return volatility on the value of deep-in-the-money call options and, furthermore, attempts to explain the volatility puzzle. We theoretically demonstrate a mechanism by which the market price of diffusion return risk, or an equity risk-premium, affects option prices and empirically illustrate how to identify that mechanism using forward-looking information on option contracts. Our theoretical and empirical results support the relevance of the volatility feedback effect. Overall, the results indicate that the prevailing practice of ignoring the time-varying dividend yield in option pricing can lead to oversimplification of the stock market dynamics.
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PDF链接：
https://arxiv.org/pdf/1209.4718
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