考量權益報酬非常態的特性，本研究採用高階動差調整選擇權訂價模型 (Corrado and Su, 1996) 來求出存在於LIFFE 權益選擇權價格中的波動率風險溢酬。我們運用高階動差調整選擇權delta避險比率來減輕模型假設錯誤的影響。
從指數選擇權的實證中，我們發現了以下幾項結果: (1) delta 避險損益為負值。(2) 藉由模型修正，高階動差 (偏態與峰態) 較不顯著，而波動率風險溢酬仍為影響delta避險損益的重要關鍵因素。實證結果支持LIFFE指數選擇權價格隱含負波動率風險溢酬。而負波動率風險溢酬代表了投資人願意以較高的價格來購買選擇權，以規避市場風險。
從英國個股選擇權的實證結果中，亦發現了負波動率風險溢酬的存在，同時獨特性風險波動率溢酬亦存在。本研究更進一步試著找出與個股選擇權波動率風險有關的總體經濟因素。本論文提供了研究個股報酬波動率風險溢酬的多因子模型。由實證結果我們發現工業生產指數波動率，未預期通貨膨脹波動率，長短期政府公債收益曲線利差波動率與Black-Scholes 及高階動差調整delta 避險損益呈現顯著負相關。負波動率風險溢酬代表，投資人願意付較高價格來購買選擇權，藉以規避總體經濟因素變動所造成的不利衝擊及獨特性風險。

As evinced by non-normal stylized characteristics in equity returns, this study adopts a moment-adjusted option pricing model (Corrado and Su, 1996) to extract volatility risk premia from LIFFE equity option prices. We incorporate the moment-adjusted option delta hedge ratio to mitigate the effect of model misspecification.
From the results of equity index options, we observe several phenomena. First, the delta-hedged gains are negative. Second, with a correction for model misspecification, higher-order moments measures show less significance and the volatility risk premium still plays a key role in affecting delta-hedged gains. Our empirical evidence supports the existence of negative volatility risk premium in LIFFE equity index options. A negative volatility risk premium suggests that option buyers are willing to pay a premium to buy options as a hedge to the market portfolio.
Moreover, the empirical results have shown the existence of a negative market volatility risk premium in U.K. individual stock option prices, and the idiosyncratic volatility appears to be priced. This study further verifies the contribution of common macro factors to the pricing of volatility risk in individual equity options. The analysis of this paper allows for multifactor models of individual return volatility. We find that shocks to an index of industrial production, unanticipated inflation, and twists in the yield curve are negatively correlated with Black-Scholes and moment-adjusted delta-hedged gains. The negative volatility risk premium represents that option investors are willing to pay more to hedge against the shocks to those macro factors and idiosyncratic risk.

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