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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 their quotes the state-price density consistent with the Merton model. The structure of the article is as follows: in Section 1 we examine the relations between arbitrages and Arrow-Debreu prices; in Section 2 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 3 we estimate the state-price density consistent with the Merton model. Some conclusions follow.
| Titolo: | Arbitrages and Arrow-Debreu Prices | |
| Autori: | ||
| Data di pubblicazione: | 2008 | |
| 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 their quotes the state-price density consistent with the Merton model. The structure of the article is as follows: in Section 1 we examine the relations between arbitrages and Arrow-Debreu prices; in Section 2 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 3 we estimate the state-price density consistent with the Merton model. Some conclusions follow. | |
| Handle: | http://hdl.handle.net/11385/130999 | |
| Appare nelle tipologie: | 02.1 - Capitolo o saggio su monografia (Monograph’s Chapter/Essay) |
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