Abstract:
As the starting point of studying China’s option market, this paper compares two empirical differences about option-implied variances between China and US. The risk-return trade-off requires a positive relationship between option-implied variances and future equity premiums. Such a relation is validated in the US market but is violated in China. Also, modern option pricing theories predict higher option-implied variances than realized variances. Such an effect is weaker in China than in US. These two findings suggest some directions for future research on China’s option market.
丛明舒. 中国场内期权市场研究——基于中美关于期权隐含方差的差异[J]. 金融研究, 2018, 462(12): 189-206.
CONG Mingshu. Research on China’s Option Market: Based on Two Empirical Differences about Option-Implied Variances between China and US. Journal of Financial Research, 2018, 462(12): 189-206.
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