Critical Finance Review, 2018(Forthcoming)

指数期权关于随机占优边界的错误定价？

作者：Martin Wallmeier (University of Fribourg)

摘要：Constantinides、Jackwerth和Perrakis(2009)报告了标普500指数一个月的期权存在广泛且严重违背随机占优边界的现象。根据Constantinides等人的后续研究(2011)，可以利用该异象获得超额交易利润。报告中的错误定价比定价核之谜中的更为极端，令人质疑期权市场是否符合理性定价的最基本要求。然而，我们发现：当对以下项目进行调整后(a)期权价格的一般水平，(b)条件波动率和(c)买卖平价关系，以确定适当的（经过股利调整的）潜在指数水平，标普500指数、欧洲斯托克50指数和德国DAX指数的期权几乎完全符合随机占优。我们的研究结果表明：指数期权市场可能比之前文献所描述的更有效。

关键词：指数期权、随机占优、波动率微笑、隐含波动率

Mispricing of Index Options with Respect to Stochastic Dominance Bounds?

Martin Wallmeier (University of Fribourg)

ABSTRACT

For one-month S&P 500 index options, Constantinides, Jackwerth and Perrakis (2009) report widespread and substantial violations of stochastic dominance bounds. According to the subsequent study of Constantinides et al. (2011), the violations can be exploited to generate abnormal trading profits. The reported mispricing, which is far more extreme than known from the pricing kernel puzzle, calls into question that option markets meet the most basic requirements of rational pricing. However, we find that index options on the S&P 500, EuroStoxx 50 and DAX are priced almost perfectly in line with stochastic dominance bounds when adjusting for (a) the general level of option prices, (b) conditional volatility and (c) put-call parity in order to determine the appropriate (dividend-adjusted) underlying index level. Our results indicate that index option markets might be much more efficient than previous literature suggests.

Keywords: Index options, stochastic dominance, volatility smile, implied volatility

原文链接：http://cfr.ivo-welch.info/readers/2018/wallmeier-2017.pdf

翻译：任兆月