Bid-ask bounds for option prices: the two-tail distortion model
提出双尾扭曲模型来刻画看涨和看跌期权的买卖价差，利用Choquet定价和无套利约束，实证表明该模型比单尾扭曲模型更好地拟合三个股指的日度数据。
We model the bid-ask spreads of call and put options by a two-tail distortion (2TD) of a reference probability distribution. The model applies the Choquet pricing approach with no-arbitrage restrictions, requiring a duality relationship between the capacities pricing long and short positions of call and put options. Moreover, the put-call parity relationship requires that the sum of bid-ask spreads of call and put options with the same strike be invariant across the strikes. We calibrate the 2TD model with a simple Sugeno distortion on a sample of two months daily data for three stock indexes and three different reference models and show that the 2TD generally provides a better fit to the data than the standard distortion of one tail only. Moreover, the estimate of the distortion parameter happens to be very similar across the different models.