Jackwerth, Jens Carsten; Constantinides, George M.; … - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2008
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...