报告承办单位: 数学与统计学院

报告题目:A factor model for stock options

报告人姓名: 宋琳甲

报告人所在单位:厦门大学

报告人职称:助理教授

报告时间: 2023年5月15日 星期一 下午15:00-17:00

报告地点: 理科楼A212

报告人简介：宋琳甲，厦门大学管理学院财务学系助理教授，博士毕业于香港中文大学。主要研究领域为：资产定价，衍生品，房地产金融等。

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.