Implied Volatilities and Transaction Costs
利用期权和股票的买卖报价数据，检验Black-Scholes模型的恒定波动率假设，发现波动率与股价负相关，建议使用CEV等非恒定波动率模型定价长期期权，并分析动态对冲的交易成本随期限增加但占比下降。
Using data that contain bid and ask quotes for both options and stocks, the analysis investigates the constant volatility assumption of the Black-Scholes model. The analysis adjusts for bid-ask spreads and finds evidence that is inconsistent with the constant volatility assumption. Instead, the results reveal a strong negative correlation between volatility and stock price, and they suggest that using a nonconstant volatility model such as the CEV model would be more appropriate to price long-term options. Finally, transaction costs associated with the dynamic hedge tend to increase with an option's maturity, but decrease as a percentage of the option's price.