| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21161 |
| 来源ID | Working Paper 21161 |
| The Supply and Demand of S&P 500 Put Options | |
| George M. Constantinides; Lei Lian | |
| 发表日期 | 2015-05-11 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We document that the implied volatility skew of S&P 500 index puts is non-decreasing in the disaster index and risk-neutral variance, contrary to the implications of a broad class of no-arbitrage models. The key to the puzzle lies in recognizing that, as the disaster risk increases, customers demand more puts as insurance while market makers become more credit-constrained in writing puts. The resulting increase in the equilibrium price is more pronounced in out-of-the-money than in-the-money puts, thereby steepening the implied volatility skew and resolving the puzzle. Consistent with the data, the model also implies that the equilibrium net buy of puts is decreasing in the disaster index, variance, and their price. The data shows a significant decreasing relationship between the IV skew and the net buy and no relationship in other periods, also explained by the model. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w21161 |
| 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/578836 |
| 推荐引用方式 GB/T 7714 | George M. Constantinides,Lei Lian. The Supply and Demand of S&P 500 Put Options. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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