讲座题目：A Supply-Side Options Pricing Model for Explaining Moment Risk Premia

报告人：谢沛霖

报告时间：3月19日（周五）上午10点

报告地点：经管院B249

主办单位：999策略白菜手机论坛数理经济与数理金融系

主持人：庄额嘉

内容摘要：This study provides a supply-side model of options markets to illustrate how options pricing uncertainty affects moment risk premia. The model is based on a microstructure such that a representative market maker dynamically replicates option prices, hedges risky positions, and seeks the minimum variance in duplicating errors. Unlike previous studies exogenously applying the underlying asset’s pricing kernel, our model starts with options’ hedging uncertainty, the pricing kernel that distinguishes options from ordinary equities, and can explain more than 45% of the variation in market risk-neutral moments. We also provide insights into the effects of market friction and nonnormality on moment risk premia and implied volatility curves.

主讲人简介：谢沛霖，美国康乃尔大学经济学博士，厦门大学王亚南经济研究院与经济学院金融系副教授，研究领域为金融衍生品，金融计量，市场微结构，任多项国家自然科学基金项目主持人，论文发表在Management Science、Journal of Empirical Finance、Journal of Derivatives, Journal of Fixed Income、Journal of Futures Market、《管理科学学报》等国内外知名期刊上。