報告承辦單位: 數(shù)學(xué)與統(tǒng)計學(xué)院

報告題目:A factor model for stock options

報告人姓名: 宋琳甲

報告人所在單位:廈門大學(xué)

報告人職稱:助理教授

報告時間: 2023年5月15日 星期一 下午15:00-17:00

報告地點(diǎn): 理科樓A212

報告人簡介：宋琳甲，廈門大學(xué)管理學(xué)院財務(wù)學(xué)系助理教授，博士畢業(yè)于香港中文大學(xué)。主要研究領(lǐng)域?yàn)椋嘿Y產(chǎn)定價，衍生品，房地產(chǎn)金融等。

We propose a theoretically motivated and empirically robust factor model for option returns. The model consists of factors based on option illiquidity, option price, implied-minus-realized volatility, implied-minus-realized skewness, implied-minus-

realized kurtosis, and the option market factor. We find that the model has a higher tangent portfolio Sharpe ratio than extant factor models and outperforms such models in ex plaining the returns of a larger number of test assets. We also show that the stochastic discount factor implied by the newly proposed model captures greater risk-return opportunities available in the options market and improves the cross-sectional pricing of individual equity options.