Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk
利用指数期权价格估计市场收益非线性因子的风险价格，发现协偏度风险价格对应市场方差风险溢价，协峰度风险价格对应市场偏度风险溢价，且期权估计优于回归估计。
Abstract We show that the prices of risk for factors that are nonlinear in the market return can be obtained using index option prices. The price of coskewness risk corresponds to the market variance risk premium, and the price of cokurtosis risk corresponds to the market skewness risk premium. Option-based estimates of the prices of risk lead to reasonable values of the associated risk premia. An analysis of factor models with coskewness risk indicates that the new estimates of the price of risk improve the models’ performance compared with regression-based estimates.