Tests on the Monotonicity Properties of KOSPI 200 Options Prices
利用KOSPI 200指数期权的高频数据，发现期权价格常不随标的资产价格单调变化，且散户大量交易时价格不变，支持需求驱动定价模型。
This study demonstrates that the basic properties predicted by one‐dimensional diffusion option pricing models are often violated, even in a highly liquid and leading options market. We analyze a high‐quality intraday dataset of KOSPI 200 index options, one of the most actively traded options markets in the world, and find that option prices often do not monotonically correlate with underlying prices. We also empirically show that option prices often do not change, despite changes in underlying prices, when options are heavily traded by individual investors, who are normally noisy and uninformed. Our evidence is partially consistent with the implications of demand‐based option pricing models, which predict that investor demand can significantly influence option prices in the presence of limits to arbitrage. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:625–646, 2016