Investors' Heterogeneity and Implied Volatility Smiles
研究发现投资者信念和时间偏好的异质性会使股票波动率随机化，即使股息波动率恒定。模型能复现期权市场常见的隐含波动率微笑模式，在S&P 500指数期权数据上表现优于多种无套利模型。
Heterogeneity in beliefs and time preferences among investors make stock volatility stochastic, even though the volatility of the underlying dividend is constant. Prices of the European options written on this stock admit closed-form solutions, hence their hedging deltas. The Black–Scholes implied volatility surface, which depends on wealth distribution, investors' beliefs, and time preferences, exhibits observed patterns that are widely documented in various options markets. Along with benchmark models, the model is calibrated weekly to the S&P 500 index options from January 1996 to April 2006. It shows comparable performance to the stochastic volatility and jump model and outperforms the traders' rules and two no-arbitrage models (stochastic volatility, and stochastic volatility and stochastic interest rate) in terms of out-of-sample pricing errors. This paper was accepted by Wei Xiong, finance.