Model Specification and Risk Premia: Evidence from Futures Options
利用1987至2003年标普期货期权价格，检验波动率跳跃的存在性，并估计扩散和跳跃风险溢价，发现跳跃风险溢价在经济和统计上显著，对理解期权回报很重要。
ABSTRACT This paper examines model specification issues and estimates diffusive and jump risk premia using S&P futures option prices from 1987 to 2003. We first develop a time series test to detect the presence of jumps in volatility, and find strong evidence in support of their presence. Next, using the cross section of option prices, we find strong evidence for jumps in prices and modest evidence for jumps in volatility based on model fit. The evidence points toward economically and statistically significant jump risk premia, which are important for understanding option returns.