The risk premium structure is the link between physical measures and risk-neutral measures,which can help extract investors'risk preference characteristics.This paper constructs a flexible form of the risk premium for jump-diffusion models that allows information implied from the options market to participate in calibrating the market price of jump risks.Then,this paper studies option pricing in the presence of jumps and explores the structure of market risk premium.The numerical analysis and empirical research show that a variable risk premium structure helps accurately characterize the market pricing kernel curve and the market risk premium structure exhibits prominent time-varying characteristics.The jump risk premium can better explain the implied volatility surface.In addition,the variable risk premium structure of the jump-diffusion model has significant option pricing advantages both in-sample and out-of-sample.The above conclusions remain robust after considering different sample lengths,pricing methods,pricing ranges,and option products.This research helps to systematically understand the structure of risk premium in different markets and pricing rules and is conducive to an in-depth exploration of the compensation mechanism for jump risk premium.
万方数据
维普
