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Constantinides, George M. - 2017

The optimal portfolio of a utility-maximizing investor trading in the S&P 500 index and cash, subject to proportional transaction costs, becomes stochastically dominated when overlaid with a zero-net-cost portfolio of S&P 500 options bought at their ask and written at their bid price in most...

Persistent link: https://www.econbiz.de/10012454974

The Supply and Demand of S&P 500 Put Options

Constantinides, George M. - 2015

We document that the implied volatility skew of S&P 500 index puts is non-decreasing in the disaster index and risk …-the-money puts, thereby steepening the implied volatility skew and resolving the puzzle. Consistent with the data, the model also …

Persistent link: https://www.econbiz.de/10012457506

Post-'87 Crash Fears in S&P 500 Futures Options

Bates, David S. - 1997

competing explanations: stochastic volatility models with negative correlations between market levels and volatilities, and … squares/Kalman filtration methodology. While volatility and level shocks are substantially negatively correlated, the … stochastic volatility model can explain the implicit negative skewness only under extreme parameters (e.g., high volatility of …

Persistent link: https://www.econbiz.de/10012472934

Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts

Engle, Robert F. - 1993

In pricing primary-market options and in making secondary markets, financial intermediaries depend on the quality of forecasts of the variance of the underlying assets. Hence, the gain from improved pricing of options would be a measure of the value of a forecast of underlying asset returns....

Persistent link: https://www.econbiz.de/10012474423

Excess Volatility : Beyond Discount Rates

Giglio, Stefano - 2016

We document a form of excess volatility that is irreconcilable with standard models of prices, even after accounting …

Persistent link: https://www.econbiz.de/10012456629

Hedging Macroeconomic and Financial Uncertainty and Volatility

Dew-Becker, Ian - 2019

uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with …

Persistent link: https://www.econbiz.de/10012480268

Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

Constantinides, George M. - 2010

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/10012462355

Mispricing of S&P 500 Index Options

Constantinides, George M. - 2008

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...

Persistent link: https://www.econbiz.de/10012464103

Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

Ahn, Dong-Hyun - 1999

This paper investigates the relation between returns on stock indices and their corresponding futures contracts in order to evaluate potential explanations for the pervasive yet anomalous evidence of positive, short-horizon portfolio autocorrelations. Using a simple theoretical framework, we...

Persistent link: https://www.econbiz.de/10012471575

New Trading Practices and Short-run Market Efficiency

Froot, Kenneth A. - 1990

decreases in autocorrelation and increases in volatility simply reflect these improvements …

Persistent link: https://www.econbiz.de/10012475529