Widespread violations of stochastic dominance by one-month S&P 500 index call options over 1986-2006 imply that a …-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 …

We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand … options, especially out-of-money puts, which helps explain their apparent expensiveness and the smirk. Second, demand patterns … help explain the prices of single-stock options …

transaction costs, becomes stochastically dominated when overlaid with a zero-net-cost portfolio of S&P 500 options bought at …. Similar results obtain with options on the CAC and DAX indices. The results are explained neither by priced factors nor a non …

guarantee makes put options on the financial sector index cheap relative to put options on its member banks. The basket … deep out-of-the-money options. The spread peaks at 12.5 cents per dollar, or 70% of the value of the index put. The rise in …

The historical returns on equity index options are well known to be strikingly negative. That is typically explained … replicated, or synthetic, options. Theoretically, it derives conditions under which convex marginal utility leads synthetic … options to also have negative excess returns. Empirically, synthetic options have CAPM alphas near zero over the period 1926 …