Recovering subjective probability distributions
提出一种直接从期权价格估计主观概率分布的方法，发现主观累积分布函数和统计量可表示为普通期权的静态组合，并用标普500指数期权数据分析了主观股权风险溢价和方差风险溢价。
Abstract This study proposes a direct estimation method for recovering subjective probability distributions from option prices. We find that the subjective cumulative distribution function and subjective statistics are represented as static portfolios composed of plain vanilla options. The portfolio weights of the options are determined by the levels of the reciprocal of the pricing kernel and their differentiation. Using options data, we investigate the historical behavior of subjective probability distributions of returns on the S&P 500 index. We also analyze subjective equity risk premiums and subjective variance risk premiums, which can be regarded as ex ante risk premiums.