演講者簡介 : Prof. Duan, Jin-Chuan 為Ph.D.，University of Wisconsin-Madison (1986)。
現為Manulife Chair in Financial Services，Rotman School of Management University of Toronto。
其主要研究領域為Financial Engineering and Risk Management、Time Series Modeling及Banking。
演講摘要 : This empirical study challenges the prevalent notion that systematic risk of the underlying asset has no effect on option prices as long as the total risk remains fixed, a long cherished prediction of the Black-Scholes option pricing theory. We examine two testable hypotheses relating both the level and slope of implied volatility curves to the systematic risk of the underlying asset. Our sample consists of daily option quotes on the S&P100 index and its 30 largest component stocks. We are able to show that after controlling for the underlying asset's total risk, a higher amount of systematic risk leads to a higher level of implied volatilities and a steeper slope of the implied volatility curve. These findings are robust to various alternative specifications. Our empirical conclusions turn out to be consistent with the newly emerged GARCH option pricing theory.
