发帖
雷达卡
英文文献：The Factor Structure in Equity Options-股权期权的因素结构
英文文献作者：Peter Christoffersen,Mathieu Fournier,Kris Jacobs
英文文献摘要：
Principal component analysis of equity options on Dow-Jones firms reveals a strong factor structure. The first principal component explains 77% of the variation in the equity volatility level, 77% of the variation in the equity option skew, and 60% of the implied volatility term structure across equities. Furthermore, the first principal component has a 92% correlation with S&P500 index option volatility, a 64% correlation with the index option skew, and a 80% correlation with the index option term structure. We develop an equity option valuation model that captures this factor structure. The model allows for stochastic volatility in the market return and also in the idiosyncratic part of firm returns. The model predicts that firms with higher betas have higher implied volatilities, and steeper moneyness and term structure slopes. We provide a tractable approach for estimating the model on a large set of index and equity option data on which the model provides a good fit. The equity option data support the cross-sectional implications of the estimated model.
对道琼斯公司股票期权的主成分分析显示出一个强因子结构。第一个主成分解释了股票波动率水平的77%的变化，股票期权倾斜的77%的变化，以及股票隐含波动率期限结构的60%。此外，第一主成分与标普500指数期权波动率的相关性为92%，与指数期权倾斜的相关性为64%，与指数期权期限结构的相关性为80%。我们开发了一个股权期权估值模型来捕捉这个因素结构。该模型允许市场回报的随机波动，也允许公司回报的特殊部分。该模型预测，贝塔系数越高的公司隐含波动率越高，资金稳定性和期限结构斜率也越大。我们提供了一种易于处理的方法来估计模型对一组大的指数和股票期权数据，模型提供了一个很好的拟合。股权期权数据支持估计模型的横断面含义。
京公网安备 11010802022788号
