G2TT
来源类型Discussion paper
规范类型论文
来源IDDP6278
DP6278 The Distributional Consequences of Diversity-Enhancing University Admissions Rules
Erik Eyster; Jimmy Chan
发表日期2007-05-04
出版年2007
语种英语
摘要This paper studies the returns from investing in index options. Previous research documents significant average option returns, large CAPM alphas, and high Sharpe ratios, and concludes that put options are mispriced. We propose an alternative approach to evaluate the significance of option returns and obtain different conclusions. Instead of using these statistical metrics, we compare historical option returns to those generated by commonly used option pricing models. We find that the most puzzling finding in the existing literature, the large returns to writing out-of-the-money puts, is not even inconsistent with the Black-Scholes model. Moreover, simple stochastic volatility models with no risk premia generate put returns across all strikes that are not inconsistent with the observed data. At-the-money straddle returns are more challenging to understand, and we find that these returns are not inconsistent with explanations such as jump risk premia, Peso problems, and estimation risk.
主题Financial Economics
关键词Jump risk premia Jump-diffusion models Options returns Put pricing puzzle
URLhttps://cepr.org/publications/dp6278
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/535121
推荐引用方式
GB/T 7714
Erik Eyster,Jimmy Chan. DP6278 The Distributional Consequences of Diversity-Enhancing University Admissions Rules. 2007.
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