Critical Finance Review 2019, Vol 8-2

标准普尔500指数看跌期权的供给与需求

作者：George M. Constantinides (University of Chicago),

Lei Lian (NBER Deep Macro LLC)

摘要：我们建立了两个模型：风险厌恶做市商提供的ATM和OTM的标准普尔500指数期权的供给模型、持有指数和无风险资产并且买入看跌期权作为价格下行保护的风险厌恶客户的需求模型。在均衡时，做市商是净卖家，而客户是指数看跌期权的净买家。与数据相一致，由于供给曲线左移主导了需求曲线右移，客户看跌的净买入降低了风险和看跌价格。ATM和OTM净买入的观测时间序列与其模型隐含的对应序列一致。

The Supply and Demand of S&P 500 Put Options

George M. Constantinides (University of Chicago), Lei Lian (NBER Deep Macro LLC)

ABSTRACT

We model the supply of at-the-money (ATM) and out-of-the-money (OTM) S&P 500 index put options by risk-averse market makers and their demand by risk-averse customers who hold the index and a risk free asset and buy puts as downside-risk protection. In equilibrium market makers are net sellers and customers are net buyers of index puts. Consistent with the data, the model-implied net buy of puts by customers is decreasing in the risk and put prices because the shift to the left of the supply curve dominates the shift to the right of the demand curve. The observed time series of the net buy of ATM and OTM puts are consistent with their model-implied counterparts.

原文链接：

http://cfr.ivo-welch.info/readers/2019/constantinides-lian.pdf

翻译：董宇佳