文章基本信息

标题：GARCH Option Pricing Models and the Variance Risk Premium
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作者：Zhang, Wenjun ; Zhang, Jin E.
期刊名称：Journal of Risk and Financial Management
印刷版ISSN：1911-8074
出版年度：2020
卷号：13
期号：3
页码：1-21
DOI：10.3390/jrfm13030051
语种：English
出版社：MDPI, Open Access Journal
摘要：In this paper, we modify Duan’s (1995) local risk-neutral valuation relationship (mLRNVR) for the GARCH option-pricing models. In our mLRNVR, the conditional variances under two measures are designed to be different and the variance process is more persistent in the risk-neutral measure than in the physical one, so that one is able to capture the variance risk premium. Empirical estimation exercises show that the GARCH option-pricing models under our mLRNVR are able to price the SPX one-month variance swap rate, i.e., the CBOE Volatility Index (VIX) accurately. Our research suggests that one should use our mLRNVR when pricing options with GARCH models.
关键词：GARCH option-pricing models; stochastic volatility; the CBOE VIX; variance risk premium