发表期刊：The Review of Financial Studies
发表时间：March 2026
作者及单位：Peter Reinhard Hansen, Chen Tong* (School of Economics and Wang Yanan Institutefor Studies in Economics, Xiamen University)
摘要：We introduce a pricing kernel with time-varying volatility risk aversion to explain the observed time variations in the shape of the pricing kernel. When combined with the Heston-Nandi GARCH model, this framework yields a tractable option pricing model in which the variance risk ratio (VRR) emerges as a key variable. We show that the VRR is closely linked to economic fundamentals, as well as sentiment and uncertainty measures. A novel approximation method provides analytical option pricing formulas, and we demonstrate substantial reductions in pricing errors through an empirical application to the S&P 500 index, the CBOE VIX, and option prices.
