Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market
PeiLin Hsieh; 谢沛霖; Robert Jarrow
【Abstract】This paper documents the fact that in options markets, the (percentage) implied volatility
bid-ask spread increases at an increasing rate as the option's maturity date approaches. To
explain this stylized fact, this paper provides a market microstructure model for the bid-ask
spread in options markets. We first construct a static equilibrium model to illustrate the aforementioned phenomenon where risk averse and competitive option market makers quote bid
and ask prices to minimize their inventory risk in an incomplete market with both directional
and volatility risk. We extend this model to multi-periods and show that the same phenomenon
occurs there as well. Two new implications are generated: a volatility level effect and a volatility
variance effect. These implications are empirically tested, and the empirical results confirm the
model's validity. Finally, we document the importance of de-trending the maturity effect by
showing that the de-trended percentage volatility spread explains future jump intensities better
than the original percentage volatility spread.
论文发现了期权市场隐含波动率报价下买卖价差的特有现象，以隐含波动度报价的买卖价差会随着到期日的接近而持续增大。该论文建立了单期至多期动态对冲下的均衡模型并提出期权市场隐含波动率买卖报价的四个理论假说，论文最后提供实证结果验证了四个假说。该论文所提出的模型是学术界第一个符合严谨期权定价理论基础的期权微观结构模型。
Management Science是我校认定的国际A类期刊，也是教育部认可的管理科学A类期刊。谢沛霖，2013年获得美国康奈尔大学经济学博士学位，后加盟厦门大学经济学科任王亚南经济研究院（WISE）、经济学院金融系助理教授，2017年初入选福建省高校台湾全职教师引进资助计划。研究领域为金融市场微结构、金融计量、金融衍生品等。国家自然科学基金项目主持人，论文发表在Management Science、Discrete Dynamics in Nature and Society、《管理科学学报》等期刊上，并曾获得澳洲金融银行学年会衍生商品领域最佳论文（澳洲交易所奖）、第十二届（2014年）与第十四届（2016年）金融系统工程与风险管理国际年会金融风险管理优秀论文。
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