Option Profit and Loss Attribution and Pricing: A New Framework
提出一个自上而下的估值框架，将期权投资的定价与每日损益归因联系起来，利用Black-Merton-Scholes公式将短期风险分解为标的价格和隐含波动率的变化，并通过无套利条件推导出公平隐含波动率与标的波动率的关系。
ABSTRACT This paper develops a new top‐down valuation framework that links the pricing of an option investment to its daily profit and loss attribution. The framework uses the Black‐Merton‐Scholes option pricing formula to attribute the short‐term option investment risk to variation in the underlying security price and the option's implied volatility. Taking risk‐neutral expectation and demanding no dynamic arbitrage result in a pricing relation that links an option's fair implied volatility level to the underlying volatility level with corrections for the implied volatility's own expected direction of movement, its variance, and its covariance with the underlying security return.