An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks
构建了一个包含稀有事件跳跃的均衡资产定价模型，发现对稀有事件的不确定性规避是解释期权微笑模式的关键因素，为理解期权定价差异提供了新视角。
This article studies the asset pricing implication of imprecise knowledge about rare events. Modeling rare events as jumps in the aggregate endowment, we explicitly solve the equilibrium asset prices in a pure-exchange economy with a representative agent who is averse not only to risk but also to model uncertainty with respect to rare events. The equilibrium equity premium has three components: the diffusive- and jump-risk premiums, both driven by risk aversion; and the "rare-event premium, " driven exclusively by uncertainty aversion. To disentangle the rare-event premiums from the standard risk-based premiums, we examine the equilibrium prices of options across moneyness or, equivalently, across varying sensitivities to rare events. We find that uncertainty aversion toward rare events plays an important role in explaining the pricing differentials among options across moneyness, particularly the prevalent "smirk" patterns documented in the index options market. Copyright 2005, Oxford University Press.