The Pricing of Volatility and Jump Risks in the Cross-Section of Index Option Returns
研究发现指数期权低平均回报主要源于市场波动率风险定价，波动率风险溢价与未来期权收益正相关，且对虚值期权和平值跨式组合影响更强，跳跃风险溢价仅部分解释虚值看跌期权收益。
Abstract Existing studies relate the puzzling low average returns on out-of-the-money (OTM) index call and put options to nonstandard preferences. We argue the low option returns are primarily due to the pricing of market volatility risk. When volatility risk is priced, expected option returns match the realized average option returns. Moreover, consistent with its theoretical effect on expected option returns, the volatility risk premium is positively related to future index option returns and this relationship is stronger for OTM options and at-the-money straddles. Finally, we find the jump risk premium contributes to some portion of OTM put option returns.