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Disagreement in the equity options market and stock returns

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Recovering risk aversion from option prices and realized returns

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Mispricing of S&P 500 index options

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Are options on index futures profitable for risk averse investors? : empirical evidence

Jackwerth, Jens Carsten; Kōnstantinidēs, Giōrgos; … - 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...

Persistent link: https://www.econbiz.de/10003876987