Informative option portfolios in filter design for option pricing models
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DOI: 10.1080/14697688.2020.1841907
Abstract: Option pricing models are tools for pricing and hedging derivatives. Good models are complex and the econometrician faces many design decisions when bringing them to the data. I show that strategically constructed low-dimensional filter designs… read more here.
Keywords: pricing models; option; option portfolios; pricing ... 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