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- W3121132344 abstract "We generalize the Heston-Nandi (2000) GARCH model to a discrete-time analog of the Heston (1993) stochastic volatility model with a variance risk premium. We show the pricing kernel in these models generalizes the risk-neutralization in Rubinstein (1976) and Brennan (1979). While it is monotonic in the stock return and volatility, its projection onto the stock return is nonmonotonic. A negative risk premium makes it appear U-shaped. We present new semi-parametric evidence to confirm this U-shaped relationship between the risk-neutral and physical probability densities. The new pricing kernel substantially improves our ability to reconcile the time series properties of stock returns with the cross- section of option prices. It provides a unified explanation for the implied volatility puzzle, the overreaction of long-term options to changes in short-term variance, and the fat tails of the risk-neutral return distribution relative to the physical distribution." @default.
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- W3121132344 date "2010-01-01" @default.
- W3121132344 modified "2023-09-26" @default.
- W3121132344 title "Option Anomalies and the Pricing Kernel" @default.
- W3121132344 hasPublicationYear "2010" @default.
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