Option Pricing and the Martingale Restriction
利用S&P 100指数期权数据，发现期权市场隐含的标的资产成本显著高于股票市场，且与交易成本和流动性相关；Black-Scholes模型存在买卖价差、交易量和未平仓合约偏差，放松鞅限制的模型表现更好。
In the absence of frictions, the value of the underlying asset implied by option prices must equal its actual market value. With frictions, however, this requirement need not hold. Using S&P 100 index options data, I find that the implied cost of the index is significantly higher in the options market than in the stock market, and is directly related to measures of transaction costs and liquidity. I show that the Black-Scholes model has strong bid-ask spread, trading volume, and open interest biases. Option pricing models that relax the martingale restriction perform significantly better.