Variance Risk Premiums of Commodity ETFs
提出一种模型无关的方法来估计美式期权的提前行权溢价，并利用黄金、白银、天然气和原油ETF的美式期权数据，发现这些商品存在显著的方差风险溢价，且现有波动率指数会高估风险中性方差。
Abstract We propose a model‐independent method to account for the early exercise premiums in American options on non‐dividend paying stocks. We find that our estimates of early exercise premium are generally larger than the estimates by existing methods. Given the American options on the Exchange‐Traded Funds (ETFs) of gold, silver, natural gas, and crude oil, we find strong empirical evidence of variance risk premiums for these commodities, over a volatility term structure up to 18 months. Furthermore, we show that volatility indexes constructed by using existing methods tend to overestimate the risk‐neutral variance, and consequently the magnitude of variance risk premium. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:452–472, 2017