The Tradability Premium on the S&P 500 Index
推导了一个多因子模型来定价同一标的资产上的多种衍生品，区分了标的资产是否可交易的情况，并定义了可交易性溢价，以标普500为例计算了日度溢价。
We derive a coherent multifactor model for pricing various derivatives written on the same underlying (potentially nontradable) asset. We show the difference between a case in which the underlying asset is self-financed and tradable and a case in which it is not. In the first case, an additional arbitrage condition must be introduced, which implies nontrivial parameter restrictions. These restrictions can be empirically tested to check whether the derivatives are priced as if the underlying were self-financed and tradable. This methodology allows us to define the tradability premium. As an illustration, we compute a daily tradability premium for the S&P 500.