IRIS - Institutional Research Information System
IRIS è il sistema di gestione integrata dei dati della ricerca adottato dalla Luiss Guido Carli. Il Catalogo dei prodotti della ricerca della Luiss raccoglie e rende disponibile, dove possibile nel rispetto del diritto d'autore, la produzione scientifica dei docenti e ricercatori dell'Ateneo. Il Catalogo alimenta inoltre i siti docenti del MIUR.
EnglishThe 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.
| Titolo: | Arbitrages and Arrow-Debreu Prices |
| Autori: | |
| Data di pubblicazione: | 2010 |
| Rivista: | |
| 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) |
File in questo prodotto:
Copyright © 2020