Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence
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下载链接：
https://www.nber.org/papers/w16302
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资源简介：
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 of
提供机构：
美国国家经济研究局
创建时间：
2010-08-01
