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本期主题
The Term Structure of Index Option Returns
时 间：2025年4月9日（Wed.）
15:00 p.m. - 16:30 p.m.
地 点：同德楼204
主 讲：Xiaoyang Zhuo（北京理工大学）
报告摘要
We study the term structure of index option returns by comparing realized option returns with their expected returns implied from option pricing models. We find that while the diffusive volatility risk premium can match 1-month index option returns well, it cannot fit the returns of long maturity options. The volatility jump risk premium shares the similar drawback in fitting the term structure of index option returns, though to a lesser extent. The jump risk premium is sufficient to explain the patterns in realized index option returns, but its success critically depends on a specification in which the variance of price jumps is priced. Finally, we present novel results on higher moments of option returns and also characterize the dynamics in the conditional expected index option returns.
报告人简介
Xiaoyang Zhuo is currently an Assistant Professor at the School of Management and Economics, Beijing Institute of Technology, Beijing, China. Zhuo obtained her B.A., M.A., and Ph.D. degrees from the Business School, Nankai University, Tianjin, China. She also served as a post-doctoral researcher at the PBC School of Finance, Tsinghua University, and as a visiting scholar at the University of Illinois at Urbana-Champaign, the University of Liverpool, and the University of Massachusetts, Amherst. Her research interests encompass areas such as option pricing, option return, term structure models, and credit risk. Her research work has been published in academic journals including the Journal of Finance, Journal of Real Estate Finance and Economics, Quantitative Finance, Computational Economics, and others.
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