Dark Matter in (Volatility and) Equity Option Risk Premiums
提出期权风险溢价中隐藏着难以识别的“暗物质”，即未被对冲的风险成分，并通过理论模型和实证分析（基于周度期权数据）揭示其对经济的重要影响，适合对期权定价和风险溢价感兴趣的学者。
In their paper, “Dark Matter in (Volatility and) Equity Option Risk Premiums,” Bakshi, Crosby, and Gao ask a provocative question: is there dark matter embedded in volatility and equity options? They consider a theoretical approach that allows them to introduce the constructs of risk premiums on jumps crossing the strike and on local time. The treatment of jumps crossing the strike and local time is integral to their theory because their absence would be counterfactual from an empirical standpoint. They label such abstract uncertainties—driven by unspanned risk components—“dark matter” as these uncertainties can be hard to identify, but their presence is implied in options data, and the workings of dark matter can be economically influential. Their empirical exercises are based on weekly equity index options (the “weeklys”) in addition to the farther-dated (index and futures) options up to 88 days maturity.