Why Are Put Options So Expensive?
| Autor: | Oleg Bondarenko |
|---|---|
| Rok vydání: | 2014 |
| Předmět: |
Economics and Econometrics
Class (set theory) Statistical arbitrage Financial economics Strategy and Management Sample (statistics) Efficient-market hypothesis Valuation of options Selection (linguistics) Econometrics Economics Capital asset pricing model Mathematical economics G12 JEL Classification: G13 JEL Classification: G14 [Market efficiency hypothesis rational learning option valuation risk-neutral density peso problem JEL Classification] Finance Parametric statistics |
| Zdroj: | Quarterly Journal of Finance. :1450015 |
| ISSN: | 2010-1406 2010-1392 |
| DOI: | 10.1142/s2010139214500153 |
| Popis: | This paper studies the "overpriced puts puzzle" — the finding that historical prices of the S&P 500 put options have been too high and incompatible with the canonical asset-pricing models. To investigate whether put returns could be rationalized by another, possibly non-standard equilibrium model, we implement the model-free methodology of Bondarenko [2003a, Statistical Arbitrage and Securities Prices, Review of Financial Studies 16, 875–919]. The methodology requires no parametric assumptions on investors' preferences. Furthermore, it can be applied even when the sample is affected by certain selection biases (such as the Peso problem) and when investors' beliefs are incorrect. The main finding of the paper is that no model within a studied class of models can possibly explain the put anomaly. |
| Databáze: | OpenAIRE |
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