The Factor Structure in Equity Options
研究发现股票期权的波动率、偏斜和期限结构存在强因子结构，主成分与标普500指数期权高度相关，并构建了能捕捉该结构的估值模型，模型预测与数据吻合。
Equity options display a strong factor structure. The first principal components of the equity volatility levels, skews, and term structures explain a substantial fraction of the cross-sectional variation. Furthermore, these principal components are highly correlated with the S&P 500 index option volatility, skew, and term structure, respectively. We develop an equity option valuation model that captures this factor structure. The model predicts that firms with higher market betas have higher implied volatilities, steeper moneyness slopes, and a term structure that covaries more with the market. The model provides a good fit, and the equity option data support the model’s cross-sectional implications. Received December 20, 2013; editorial decision April 15, 2017 by Editor Leonid Kogan.