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Stochastic volatility and pricing bias in the Swedish OMX-index call option market

Byström, Hans N. E. - 2000

Persistent link: https://www.econbiz.de/10001529353

Risk Arbitrage Opportunities for Stock Index Options

Post, Thierry - 2019

developed which completely characterizes all risk arbitrage opportunities which arise if a well-behaved pricing kernel does not … exist. The Stochastic Arbitrage system can account for market imperfections in the form of transactions costs and general … portfolio restrictions. An active trading strategy based on the Stochastic Arbitrage system for front-month S&P500 stock index …

Persistent link: https://www.econbiz.de/10012899380

Optimal Arbitrage Strategies on Stock Index Futures Under Position Limits

Dai, Min - 2010

stocks in the index basket, an arbitrageur can lock in the profit of a positive (negative) arbitrage basis in a stock index … futures by adopting a short (long) futures strategy. In addition, the arbitrageur may improve the arbitrage profit by adopting … position directly to the short position or vice versa. In this paper, we examine the optimal arbitrage strategies in stock …

Persistent link: https://www.econbiz.de/10013149201

Joint Arbitrage Conditions for Stock Index Options and Volatility Index Options

Post, Thierry - 2023

We analyze the joint cross-section of monthly S&P500 stock index options and monthly CBOE Volatility Index options by constructing and evaluating option combinations that appear undervalued for all permissible values of the latent parameters of the unifying option pricing model and the joint...

Persistent link: https://www.econbiz.de/10014351229

Arbitrage opportunities and efficiency tests in crypto derivatives

Alexander, Carol; Chen, Xi; Deng, Jun; Wang, Tianyi - In: Journal of financial markets 71 (2024), pp. 1-20

Persistent link: https://www.econbiz.de/10015178403

Capturing the power options smile by an additive two-factor model for overlapping futures prices

Piccirilli, Marco; Schmeck, Maren Diane; Vargiolu, Tiziano - 2019

Lévy processes, that fulfills a no-overlapping-arbitrage (NOA) condition. We compute European option prices by Fourier … transform methods, introduce a specific calibration procedure that takes into account no-arbitrage constraints and fit the model …

Persistent link: https://www.econbiz.de/10012107920

Improving score-driven density forecasts with an application to implied volatility surface dynamics

Zou, Xia; Lin, Yicong; Lucas, André - 2025

Point forecasts of score-driven models have been shown to behave at par with those of state-space models under a variety of circumstances. We show, however, that density rather than point forecasts of plain-vanilla score-driven models substantially underperform their state-space counterparts in...

Persistent link: https://www.econbiz.de/10015408437

Mispricing of S&P 500 Index Options

Constantinides, George M. - 2008

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...

Persistent link: https://www.econbiz.de/10012464103

The Market for Crash Risk

Bates, David S. - 2001

This paper examines the equilibrium when negative stock market jumps (crashes) can occur, and investors have heterogeneous attitudes towards crash risk. The less crash-averse insure the more crash-averse through the options markets that dynamically complete the economy. The resulting equilibrium...

Persistent link: https://www.econbiz.de/10012470161

Post-'87 Crash Fears in S&P 500 Futures Options

Bates, David S. - 1997

This paper shows that post-crash implicit distributions have been strongly negatively skewed, and examines two competing explanations: stochastic volatility models with negative correlations between market levels and volatilities, and negative-mean jump models with time-varying jump frequencies....

Persistent link: https://www.econbiz.de/10012472934