Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
研究个股期权与市场指数期权的定价差异，发现个股风险中性分布的负偏度远小于市场指数，并分解了个股收益偏度的系统性和异质性成分，对理解期权定价和风险管理有参考价值。
This article provides several new insights into the economic sources of skewness. First, we document the differential pricing of individual equity options versus the market index and relate it to variations in return skewness. Second, we show how risk aversion introduces skewness in the risk-neutral density. Third, we derive laws that decompose individual return skewness into a systematic component and an idiosyncratic component. Empirical analysis of OEX options and 30 stocks demonstrates that individual risk-neutral distributions differ from that of the market index by being far less negatively skewed. This article explains the presence and evolution of risk-neutral skewness over time and in the cross section of individual stocks.