Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence
研究了1983至2006年间S&P 500指数期货期权中违反随机占优边界的交易机会，发现卖出违反上界的看涨期权能提高风险厌恶投资者的期望效用，且结果具有经济显著性和稳健性。
ABSTRACT American options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2009) from 1983 to 2006 are identified as potentially profitable trades. Call bid prices more frequently violate their upper bound than put bid prices do, while violations of the lower bounds by ask prices are infrequent. In out‐of‐sample tests of stochastic dominance, the writing of options that violate the upper bound increases the expected utility of any risk‐averse investor holding the market and cash, net of transaction costs and bid‐ask spreads. The results are economically significant and robust.