Smiles, Bid‐ask Spreads and Option Pricing
利用西班牙IBEX-35指数期货期权数据，研究流动性成本（以相对买卖价差衡量）对期权定价的影响，发现纳入买卖价差的参数模型表现反而不如Black-Scholes模型。
Given the evidence provided by Longstaff (1995), and Peña, Rubio and Serna (1999) a serious candidate to explain the pronounced pattern of volatility estimates across exercise prices might be related to liquidity costs. Using all calls and puts transacted between 16:00 and 16:45 on the Spanish IBEX‐35 index futures from January 1994 to October 1998 we extend previous papers to study the influence of liquidity costs, as proxied by the relative bid‐ask spread, on the pricing of options. Surprisingly, alternative parametric option pricing models incorporating the bid‐ask spread seem to perform poorly relative to Black‐Scholes.