Mispricing of S&P 500 Index Options
收藏NBER2008-12-01 更新2025-01-04 收录
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https://www.nber.org/papers/w14544
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资源简介：
Widespread violations of stochastic dominance by one-month S&P 500 index call options over 1986-2006 imply that a trader can improve expected utility by engaging in a zero-net-cost trade net of transaction costs and bid-ask spread. Although pre-crash option prices conform to the Black-Scholes-Merton
提供机构：
美国国家经济研究局
创建时间：
2008-12-01
