Option pricing under short-lived arbitrage: theory and tests
构建了一个套利过程为均值回复的期权定价模型，发现与标的资产相关的套利对期权价格有显著影响，并用五家大公司的数据检验了模型。
Models in financial economics derived from no-arbitrage assumptions have found great favour among theoreticians and practitioners. We develop a model of option prices where arbitrage is short lived. The arbitrage process is Ornstein–Uhlenbeck with zero mean and rapid adjustment of deviations. We find that arbitrage correlated with the underlying can have sizeable impact on option prices. We use data from five large capitalization firms to test implications of the model. Consistent with the existence of arbitrage, we find that idiosyncratic factors significantly effect arbitrage model parameters.