A Theory of Volatility Spreads
从理论上解释了风险中性波动率与真实波动率之间的差异（即波动率价差），发现当投资者风险厌恶、真实分布负偏且尖峰时，价差为正，实证结果支持理论预测。
This study formalizes the departure between risk-neutral and physical index return volatilities, termed volatility spreads. Theoretically, the departure between risk-neutral and physical index volatility is connected to the higher-order physical return moments and the parameters of the pricing kernel process. This theory predicts positive volatility spreads when investors are risk averse, and when the physical index distribution is negatively skewed and leptokurtic. Our empirical evidence is supportive of the theoretical implications of risk aversion, exposure to tail events, and fatter left-tails of the physical index distribution in markets where volatility is traded.