Common Pricing of Decentralized Risk: A Linear Option Pricing Model
提出一个自上而下的线性期权定价模型，通过对每个风险来源按分散化风险估计比例统一定价，显著优于现有自下而上模型，并能有效解释期权收益变化，预测未来超额收益。
Abstract This paper proposes a top-down linear option pricing model that unifies the pricing of different option contracts not by assuming common dynamics but by imposing common pricing on each risk source in proportion to decentralized risk estimates. The model generates significantly better pricing performance than existing bottom-up models. Its high-dimensional risk structure effectively explains the options return variation, allowing for the seamless integration of option pricing with risk management. The market price of risk estimate from the model strongly predicts the future excess return of the corresponding risk-targeting option portfolio, an important dimension of attribute completely absent from prior literature.