Smooth ambiguity preferences and asset prices with a jump-diffusion process
在连续时间平滑模糊偏好模型中引入泊松跳跃成分，研究布朗运动和泊松跳跃过程的模糊性对资产价格的影响，模型能复现美国资产回报的历史矩并解释方差溢价和期权波动率曲线。
The present study extends the continuous-time smooth ambiguity preferences model by introducing a Poisson jump component into the agent's consumption process. Under this setting, we examine the effect of ambiguity with respect to both Brownian motion and a Poisson jump process on asset prices. Using reasonable values for preferences parameters, our model replicates historical moments of the U.S. asset returns, including the equity premium, equity volatility, and risk-free rate. Our model also generates substantial equity variance premium and a mildly downward sloping volatility curve of equity options that are consistent with the U.S. data. In addition, our model captures the predictive power of the variance premium with respect to equity returns.