Determinants of S&P 500 index option returns
โ Scribed by Charles Cao; Jing-Zhi Huang
- Book ID
- 106514049
- Publisher
- Springer US
- Year
- 2007
- Tongue
- English
- Weight
- 350 KB
- Volume
- 10
- Category
- Article
- ISSN
- 1380-6645
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
We would like to thank Campbell Harvey for providing the discrete dividend data used in the computation of implied standard deviations of the S&P 100 index. The article has greatly benefited from the constructive suggestions of two anonymous referees of The Journal of Futures Markets.
## I9 12 5 . The horizontal axis measures option moneyness, defined as the percentage difference between a discounted strike price and a stock price, i.e., ## Ke-* -So Ke-\* x 100 and the vertical axis measures values for -Q3 and Q4. The most telling observation from Figure is that negative s
The study tests Longstaff 's martingale restriction on S&P 500 index options over the period 1990-1994. Assuming the S&P index follows a lognormal distribution results in systematic violations of the martingale restriction, the implied index value from options consistently overestimating the market