We show that the prices of risk for factors that are nonlinear in the market return can be obtained using index option prices. The price of coskewness risk corresponds to the market variance risk premium, and the price of cokurtosis risk corresponds to the market skewness risk premium. Option-based estimates of the prices of risk lead to reasonable values of the associated risk premia. An analysis of factor models with coskewness risk indicates that the new estimates of the price of risk improve the models’ performance compared with regression-based estimates.

中文翻译：

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基于期权的 Coskewness 价格和 Cokurtosis 风险估计

我们表明，市场回报中非线性因素的风险价格可以使用指数期权价格获得。共偏度风险的价格对应于市场方差风险溢价，共峰风险的价格对应于市场偏度风险溢价。基于期权的风险价格估计导致相关风险溢价的合理值。对具有同偏度风险的因子模型的分析表明，与基于回归的估计相比，风险价格的新估计提高了模型的性能。