An Empirical Test of a Valuation Model for American Options on Futures Contracts
推导了期货合约美式看涨和看跌期权的定价模型，并用标普500和德国马克期货期权数据检验市场效率，发现市场价格与模型价格存在偏差，且基于偏差的对冲策略在扣除交易成本后仍能获利，但延迟执行或考虑买卖价差后利润消失。
Pricing models for American call and put options on futures contracts are derived herein. These models are used to investigate the efficiency of the market for options on Standard & Poor 500 and German Mark futures. The evidence presented here indicates that market prices for these options deviate substantially from their corresponding model prices. In addition, it is shown that a hedging strategy originated at prices that indicate a deviation of market from model is successful in translating the observed mispricing into excess profits after transactions costs. However, these net profits are eliminated if the origination of the strategy is delayed by one trade, or if bid-ask spreads are accounted for.