Valuation of American Futures Options: Theory and Empirical Tests
回顾美式期货期权定价理论，并用标普500股指期货期权交易数据检验定价模型，发现模型存在与实值程度和到期时间相关的定价误差，且交易后仍有异常收益，拒绝模型正确且市场有效的联合假设。
ABSTRACT This paper reviews the theory of futures option pricing and tests the valuation principles on transaction prices from the S&P 500 equity futures option market. The American futures option valuation equations are shown to generate mispricing errors which are systematically related to the degree the option is in‐the‐money and to the option's time to expiration. The models are also shown to generate abnormal risk‐adjusted rates of return after transaction costs. The joint hypothesis that the American futures option pricing models are correctly specified and that the S&P 500 futures option market is efficient is refuted, at least for the sample period January 28, 1983 through December 30, 1983.