Shedding light on a dark matter: Jump diffusion and option‐implied investor preferences
比较了均衡跳跃扩散期权价格与内生随机占优期权边界，发现多数均衡模型价格在经济上无意义，且随机占优边界的隐含分布具有与基础收益数据相当的尾部风险，揭示了物理和风险中性尾部概率不一致的暗物质。
Abstract We compare equilibrium jump diffusion option prices with endogenously determined stochastic dominance (SD) option bounds. We use model parameters from earlier studies and find that most equilibrium model prices consistent with SD bounds yield economically meaningless results. Further, the implied distributions of the SD bounds exhibit a tail risk comparable to that of the underlying return data, thus shedding light on the dark matter of the inconsistency of physical and risk‐neutral tail probabilities. Since the SD bound assumptions are weaker, we conclude that these bounds should either replace or be used to verify the equilibrium model results.