近幾年來的研究指出，選擇權的價格中隱含負的波動率風險溢酬，同時為Black -Scholes隱含波動率大於歷史波動率提供了一個合理的答案。本篇論文以30檔LIFFE個股選擇權為實證標的，研究其定價是否隱含波動率風險溢酬。其實證結果如下：(1) 個股選擇權的隱含波動率平均而言高於歷史波動率，且其差距高於指數選擇權。(2)delta-hedged gains之平均值一般而言均為負(3)個股選擇權之delta-hedged gains負的程度大於指數選擇權(4) 個股選擇權的價格不僅隱含負的市場波動率風險溢酬，也隱含負的個別公司波動率風險溢酬。

During the last few years, several studies have indicated that options price a negative volatility risk premium, thus providing a reasonable explanation of why Black-Scholes implied volatilities of options exceed realized volatilities. In this paper, we examine the empirical implication of market volatility risk premium on 30 call options of individual stock that are traded on LIFFE. First, the Black-Scholes implied volatilities of the options, on average, are greater than the historical realized volatilities. However the magnitude of this difference between implied and realized volatilities for the options is greater than that for the index. Second, the average delta-hedged gains of options of individual stock are generally negative. Third, the delta-hedged gains of individual stock options are more negative than index. Fourth, the price of call options incorporates not only a negative market volatility risk premium, but also a negative individual firm idiosyncratic volatility risk premium. Our empirical results provide resolution of why buyers of call options are willing to pay more risk premium than index options.

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