A Nonlinear Factor Analysis of S&P 500 Index Option Returns
用1986至2000年的标普500指数期货期权数据，估计灵活的非线性模型，检验定价风险因子能否解释期权异常收益，发现因子贡献不足，尤其对短期虚值看跌期权。
ABSTRACT Growing evidence suggests that extraordinary average returns may be obtained by trading equity index options, and that at least part of this abnormal performance is attributable to volatility and jump risk premia. This paper asks whether such priced risk factors are alone sufficient to explain these average returns. To provide an answer in as general as possible a setting, I estimate a flexible class of nonlinear models using all S&P 500 Index futures options traded between 1986 and 2000. The results show that priced factors contribute to these expected returns but are insufficient to explain their magnitudes, particularly for short‐term out‐of‐the‐money puts.