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Mispricing of S&P 500 Index Options
Constantinides, George M. - 2010
distribution of the index return is estimated from time-series data. Substantial violations by post-crash OTM calls contradict the …-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 …
Persistent link: https://www.econbiz.de/10012758035
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Mispricing of S&P 500 index options
Kōnstantinidēs, Giōrgos; Jackwerth, Jens Carsten; … - 2008
Persistent link: https://www.econbiz.de/10003791478
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Are options on index futures profitable for risk averse investors? : empirical evidence
Kōnstantinidēs, Giōrgos; Czerwonko, Michal; … - 2010
Persistent link: https://www.econbiz.de/10008656711
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Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence
Constantinides, George M. - 2014
American options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2007) from 1983 to 2006 are identified as potentially profitable trades. Call bid prices more frequently violate their upper bound than put bid prices do, while violations...
Persistent link: https://www.econbiz.de/10013069352