Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options
利用标普500指数期权数据，通过新定价模型提取预期波动率和跳跃强度，发现基于预期风险的溢价比基于已实现波动的溢价高70%，且期权隐含的股权溢价能显著预测未来股市回报。
We use a novel pricing model to imply time series of diffusive volatility and jump intensity from S&P 500 index options. These two measures capture the ex ante risk assessed by investors. Using a simple general equilibrium model, we translate the implied measures of ex ante risk into an ex ante risk premium. The average premium that compensates the investor for the ex ante risks is 70% higher than the premium for realized volatility. The equity premium implied from option prices is shown to significantly predict subsequent stock market returns. © 2010 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.