The Risk Premium of Volatility Implicit in Currency Options
用1987-1992年美元/马克期权数据估计Heston随机波动率模型参数，结合历史汇率矩推断方差风险的市场价格，发现其非零、时变且构成货币市场风险溢价的重要部分。
Abstract This article provides an empirical investigation of the risk-neutral variance process and the market price of variance risk implied in the foreign-currency options market. There are three principal contributions. First, the parameters of Heston's mean-reverting square-root stochastic volatility model are estimated using dollar/mark option prices from 1987 to 1992. Second, it is shown that these implied parameters can be combined with historical moments of the dollar/mark exchange rate to deduce an estimate of the market price of variance risk. These estimates are found to be nonzero, time varying, and of sufficient magnitude to imply that the compensation for variance risk is a significant component of the risk premia in the currency market. Finally, the out-of-sample test suggests that the historical variance and the Hull and White implied variance contain no more information than that imbedded in the Heston implied variance. KEY WORDS: Generalized method of momentsImplied parameterMarket price of variance riskPredictive powerStochastic volatility