Cumulative Prospect Theory, Option Returns, and the Variance Premium
构建了一个基于累积前景理论的均衡资产定价模型，用美国股指期权收益数据验证，发现概率权重能同时解释虚值看跌和看涨期权的低收益以及高方差溢价。
Abstract We develop a tractable equilibrium asset pricing model with cumulative prospect theory (CPT) preferences. Using GMM on a sample of U.S. equity index option returns, we show that by introducing a single common probability weighting parameter for both tails of the return distribution, the CPT model can simultaneously generate the otherwise puzzlingly low returns on both out-of-the-money put and out-of-the-money call options as well as the high observed variance premium. In a dynamic setting, probability weighting and time-varying equity return volatility combine to match the observed time-series pattern of the variance premium. Received May 30, 2017; editorial decision August 10, 2018 by Editor Andrew Karolyi.