The goal of this work is to check that there are no arbitrage opportunities in the CBOE market for S&P500 options and to extract from these options’ quotes the state-price density consistent with the Merton model. The structure of the article is as follows: in Section 2 we examine the relations between arbitrages and Arrow-Debreu prices; in Section 3 we consider two models which seem to be consistent with the market prices of index options: the CEV model and the Merton model; finally, in Section 4 we estimate the state-price density consistent with the Merton-Geske model. Some conclusions follow.
Arbitrages and Arrow-Debreu Prices / Barone, Gaia. - In: RIVISTA DI POLITICA ECONOMICA. - ISSN 0035-6468. - 98:11-12(2010), pp. 43-78.
Titolo: | Arbitrages and Arrow-Debreu Prices | |
Autori: | ||
Data di pubblicazione: | 2010 | |
Rivista: | ||
Citazione: | Arbitrages and Arrow-Debreu Prices / Barone, Gaia. - In: RIVISTA DI POLITICA ECONOMICA. - ISSN 0035-6468. - 98:11-12(2010), pp. 43-78. | |
Abstract: | The goal of this work is to check that there are no arbitrage opportunities in the CBOE market for S&P500 options and to extract from these options’ quotes the state-price density consistent with the Merton model. The structure of the article is as follows: in Section 2 we examine the relations between arbitrages and Arrow-Debreu prices; in Section 3 we consider two models which seem to be consistent with the market prices of index options: the CEV model and the Merton model; finally, in Section 4 we estimate the state-price density consistent with the Merton-Geske model. Some conclusions follow. | |
Handle: | http://hdl.handle.net/11385/130993 | |
Appare nelle tipologie: | 01.1 - Articolo su rivista (Article) |