Option Valuation with Macro-Finance Variables
提出一个由宏观金融变量部分决定期权价格的模型，在拟合资产收益和期权定价上优于现有基准，尤其在商业条件恶化时表现更好，金融危机期间定价误差比嵌套两成分波动率基准低18%。
I propose a model in which the price of an option is partly determined by macro-finance variables. In an application using an index of current business conditions, the new model outperforms existing benchmarks in fitting underlying asset returns and in pricing options. The model performs particularly well when business conditions are deteriorating. Using the recent financial crisis as an out-of-sample experiment, the new model has option-pricing errors that are 18% below those of a nested 2-component volatility benchmark. Results are robust to using alternative business conditions proxies and comparing to different benchmark models.