- 期刊
Estimating the Implicit Market Model from Option Prices
以選擇權價格估計隱性市場模型
摘要
The main novelty of this paper is to develop a preference-free option pricing formula which involves index return volatility and the alpha, beta, and firm-specific risk of underlying stock returns by formulating option payoffs with the market model in the multivariate risk-neutral valuation framework. We thus estimate the option implicit market model, namely the forward-looking alpha, beta, and firm-specific risk, by calibrating equity and index option prices. Empirical illustration indicates that our model calibrates equity options accurately, the CAPM holds with option-implied estimates, and option-implied estimates are more effective than regression-based historical estimates in predicting alpha, beta, firm-specific risk, and stock returns (conditional on the contemporaneous index returns) in a future horizon.
並列摘要
本文旨在以選擇權價格估計隱性市場模型，主要創新之處在於提出一個與偏好無關的選擇權評價公式，透過在多元風險中立評價架構，使用市場模型來描述選擇權標的股票報酬，評價公式中則包含了大盤指數波動率、與個股股票報酬的alpha、beta、及公司特定風險。因此，我們可以經由校準個股和指數選擇權價格來估計選擇權隱性市場模型；亦即估計前瞻性alpha、beta、與公司特定風險。實證研究顯示我們的模型可以準確地校準個股選擇權價格，選擇權隱含之估計值亦支持CAPM的成立，並且選擇權隱含之估計值在預測未來的alpha、beta、與公司特定風險上，相較基於歷史資料之回歸估計更為有效。