Index option returns and generalized entropy bounds
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DOI: 10.1016/j.jfineco.2020.08.011
Abstract: Abstract I develop a new spectrum of moment bounds on the pricing kernel. They stem from the solution of an optimization problem that is complementary to Hansen and Jagannathan (1991) approach. Economically, they measure the… read more here.
Keywords: option; option returns; index option; generalized entropy ... See more keywords
Mispriced index option portfolios
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DOI: 10.1111/fima.12288
Abstract: In model-free out-of-sample tests, we show that the optimal portfolio of a utility-maximizing investor trading in the S&P 500 index, cash, and index options bought at their ask and written at their bid prices stochastically… read more here.
Keywords: mispriced index; index; option portfolios; index option ... See more keywords