Index Options: The Early Evidence
研究S&P100和主要市场指数期权在上市第一年的定价，发现这些期权频繁违反套利边界和看跌看涨平价，且相对于理论价值存在显著错误定价，表明使用实时数据也可能因价格不同步而难以检验期权定价模型。
ABSTRACT Index options became the most important traded contracts during their first year of existence. Two contracts, namely those on the S&P100 and the Major Markets Index, have a trading volume which typically surpasses the trading volume in all individual stock option contracts. In this paper, we examine the pricing of the options on the S&P100 and the Major Markets Index. Using intra‐day prices, we find the options frequently violate the arbitrage boundary, put/call parity, and are substantially mispriced relative to theoretical values. Our results suggest that tests of option pricing models may be more difficult than previously realized due to nonsynchronous prices, even using “real‐time” data from the exchanges.