American call and put options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2007) over 1983-2006 are identified as potentially profitable investment opportunities. Call bid prices more frequently violate their upper bound than put bid...

We document widespread violations of stochastic dominance in the one-month S&P 500 index options market over the period 1986-2002. These violations imply that a trader can improve her expected utility by engaging in a zero-net-cost trade. We allow the market to be incomplete and also imperfect...

By applying stochastic dominance arguments, upper bounds on the reservation write price of European calls and puts and lower bounds on the reservation purchase price of these derivatives are derived in the presence of proportional transaction costs incurred in trading the underlying security....

Appendix A demonstrates an error in the Genotte and Jung (1994) solution; Appendix B presents the Hamilton-Bellman-Jacoby equation in continuous time; Appendix C presents the exact solution in discrete time; Appendix D presents a numerical solution to the Liu and Loewenstein (2007) problem

Contract duration as component of contract design has both a transaction cost savings function by mitigating exchange hazards and a strategic value creation function by leveraging knowledge-based resources. Previous studies have not explained the value creation function of contract duration in...