| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP13975
|
| DP13975 Commodity Option Pricing Efficiency before Black Scholes Merton |
| David Chambers
|
| 发表日期 | 2019-09-01
|
| 出版年 | 2019
|
| 语种 | 英语
|
| 摘要 | It is often thought that the arrival of the Black Scholes Merton (BSM) model of option pricing in the early 1970s allowed traders to understand how to price and value options with greater precision. Yet, our study suggests that interwar commodity option traders may have been able to intuit ‘fair’ value and to adjust their prices to changes in the market environment well before the advent of this innovative model. A scarcity of historical price data has limited empirical tests of option price efficiency well before BSM to prior studies of stock options in the 1870s and the early twentieth century which reach contrasting findings. This study deals with option pricing in a different market – commodities – during the interwar period. We conclude that option prices were closer to their BSM theoretical values than suggested by prior studies. Institutional differences between interwar commodity options market and stock option markets in the 1870s and the early twentieth century may partly account for this result. Furthermore, we find that interwar option prices were no more mispriced and were as sensitive to changes in volatility – the key valuation parameter in the BSM model – as in modern times. |
| 主题 | Economic History
|
| 关键词 | Options
Warrants
Black-scholes
Commodities
London metals exchange
Market efficiency
Performativity
|
| URL | https://cepr.org/publications/dp13975
|
| 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/542856
|
推荐引用方式
GB/T 7714 |
David Chambers. DP13975 Commodity Option Pricing Efficiency before Black Scholes Merton. 2019.
|
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