Option Valuation with Volatility Components, Fat Tails, and Nonmonotonic Pricing Kernels*
该研究将多个波动率成分、肥尾分布和U形定价核纳入一个期权模型，比较三者对描述收益率和期权数据的贡献，发现三者互补且U形定价核的经济重要性最高。
We nest multiple volatility components, fat tails, and a U-shaped pricing kernel in a single option model and compare their contribution in describing returns and option data. All three features lead to statistically significant model improvements. A U-shaped pricing kernel is economically most important and improves option fit by 17%, on average, and more so for two-factor models. A second volatility component improves the option fit by 9%, on average. Fat tails improve option fit by just over 4%, on average, but more so when a U-shaped pricing kernel is applied. Overall, these three model features are complements rather than substitutes: the importance of one feature increases in conjunction with the others.