| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14544 |
| 来源ID | Working Paper 14544 |
| Mispricing of S&P 500 Index Options | |
| George M. Constantinides; Jens Carsten Jackwerth; Stylianos Perrakis | |
| 发表日期 | 2008-12-11 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | Widespread violations of stochastic dominance by one-month S&P 500 index call options over 1986-2006 imply that a trader can improve expected utility by engaging in a zero-net-cost trade net of transaction costs and bid-ask spread. Although pre-crash option prices conform to the Black-Scholes-Merton model reasonably well, they are incorrectly priced if the distribution of the index return is estimated from time-series data. Substantial violations by post-crash OTM calls contradict the notion that the problem primarily lies with the left-hand tail of the index return distribution and that the smile is too steep. The decrease in violations over the post-crash period 1988-1995 is followed by a substantial increase over 1997-2006 which may be due to the lower quality of the data but, in any case, does not provide evidence that the options market is becoming more rational over time. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w14544 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572219 |
| 推荐引用方式 GB/T 7714 | George M. Constantinides,Jens Carsten Jackwerth,Stylianos Perrakis. Mispricing of S&P 500 Index Options. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14544.pdf（289KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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