A Bayesian Stochastic Discount Factor for the Cross-Section of Individual Equity Options
用贝叶斯模型平均法估计个股期权的随机贴现因子，发现该因子在定价期权回报异常和投资组合时优于传统模型，且包含隐含-已实现波动率差、期权回报动量和跳跃风险等特征。
Abstract We utilize Bayesian model averaging to estimate a stochastic discount factor (SDF) for single-stock options. A Bayesian model averaging SDF outperforms reduced-form benchmark models in-sample and out-of-sample in pricing option return anomalies and portfolios. We document that the SDF is dense in characteristics with the implied-realized volatility spread, option return momentum, and jump risk emerging as the most likely included factors. The option SDF exhibits a distinct business cycle pattern and aligns more closely with its counterpart in the stock market than in the bond market.