The Pricing of Stock Index Options in a General Equilibrium Model
在一个简单的一般均衡模型中分析股票指数期权的定价，研究使用Black-Scholes模型时因假设的波动率和利率动态而产生的偏差，并说明该模型能解释实证中观察到的偏差。
This paper analyzes the pricing of stock index options in a simple general equilibrium model. In this model, the volatility of the stock index and the spot rate of interest are functions of a stochastic variable. The paper investigates the biases that arise when using the Black-Scholes model with the assumed volatility and interest rate dynamics. It is shown that the model can, in principle, explain the biases observed in empirical work on stock index options.