Option Pricing: Dividends and the in- and out-of-the-Money Bias
研究股息大小如何影响期权定价模型中的价内价外偏差，发现股息高低会导致模型对价外期权定价出现相反方向的偏差，对理解期权市场定价异常有参考价值。
* Although strides have recently been made in the theory of option pricing, the models currently available do not completely explain the behavior of actual option prices. A particularly persistent item is the inand out-of-the-money bias. Even more perplexing is the fact that the empirical evidence concerning this bias has not been consistent. Black [2] reports that the Black-Scholes (B-S) model underprices (overprices) deep out-of-the-money (in-the-money) call options. Merton [8] states that practitioners observe B-S model prices to be less than market prices for deep in-themoney as well as deep out-of-the-money options. MacBeth and Merville [6, 7] tested the B-S model on the options of six firms and found biases that were the exact opposite of those reported by Black. This bias has been believed to be at least partially related to the fact that the original Black-Scholes model does not account for dividends on the underlying stock. The more recent models specifically take account of dividends. Sterk [10] finds that a dividend modified B-S model leads to results that are consistent with Black's original findings. The theoretically superior Roll [9] model alleviates but does not completely eliminate this bias. In this Journal, Gultekin, Rogalski, and Tinic [5] recently reported results for the simpler Geske [3] model which are also consistent with Black's findings. Finally, Whaley [13], using a recently corrected version of the original Roll and Geske models, presents further evidence which indicates that deviations of model prices from market prices are significantly related to the extent to which the option is inor out-of-the-money. This paper will present evidence that indicates that the nature of the particular inand out-of-the-money bias that is observed by a researcher depends on the magnitude of the dividend on the underlying stocks in the sample. Out-of-the-money options on stocks with small (large) dividends will be shown to be significantly underpriced (overpriced) by both the dividendmodified B-S model and the recently developed RollGeske-Whaley model which specifically accounts for dividends. This behavior is reversed for in-the-money