KOPS - Das Institutionelle Repositorium der Universität Konstanz

Mispricing of Index Options with Respect to Stochastic Dominance Bounds? : A Reply

Mispricing of Index Options with Respect to Stochastic Dominance Bounds? : A Reply

Zitieren

Dateien zu dieser Ressource

Prüfsumme: MD5:0a57a4edc767d306cb213a00825289e0

CONSTANTINIDES, George M., Michal CZERWONKO, Jens Carsten JACKWERTH, Stylianos PERRAKIS, 2018. Mispricing of Index Options with Respect to Stochastic Dominance Bounds? : A Reply. In: Critical Finance Review. ISSN 2164-5744. eISSN 2164-5760

@article{Constantinides2018Mispr-41353, title={Mispricing of Index Options with Respect to Stochastic Dominance Bounds? : A Reply}, url={http://cfr.ivo-welch.info/readers/2018/constantinides-czerwonko-jackwerth-perrakis-2017.pdf}, year={2018}, issn={2164-5744}, journal={Critical Finance Review}, author={Constantinides, George M. and Czerwonko, Michal and Jackwerth, Jens Carsten and Perrakis, Stylianos} }

terms-of-use Jackwerth, Jens Carsten 2018-02-14T13:01:01Z Czerwonko, Michal Perrakis, Stylianos Constantinides and Perrakis (2002, 2007) derive a lower bound on the price of an option such that an investor increases her utility by buying the option at the ask price if the ask price is lower than the lower bound; and by writing the option at the bid price if the bid price is higher than upper bound. Contrary to the evidence in Constantinides, Jackwerth, and Perrakis (2009) and Constantinides, Czerwonko, Jackwerth and Perrakis (2011) who demonstrate several violations of mainly the upper bound on call prices and document a tradable anomaly by exploiting this mispricing, Wallmeier (2015) claims that practically all options on the S&P 500, Eurostoxx 50, and DAX indices lie within the bounds. The main reason for the discrepancy is that Wallmeier erroneously inflates the volatility input to the bounds by about 2% by using the at-the-money implied volatility which is approximately the risk-neutral volatility instead of the physical volatility, as required by the model. eng Czerwonko, Michal 2018 Jackwerth, Jens Carsten Constantinides, George M. Constantinides, George M. Mispricing of Index Options with Respect to Stochastic Dominance Bounds? : A Reply Perrakis, Stylianos 2018-02-14T13:01:01Z

Dateiabrufe seit 14.02.2018 (Informationen über die Zugriffsstatistik)

2018-8-29 Mispricing of Index Options with Respect to Stochasic Dominance Bounds_ A Reply.pdf 49

Das Dokument erscheint in:

KOPS Suche


Stöbern

Mein Benutzerkonto