A Nonlinear Factor Analysis of S & P 500 Index Option Returns  

Oleh:

Jones, Christopher S.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 5 (Okt. 2006), page 2325-2364.
Topik: nonlinear analysis; studies; rates of return; options trading; econometrics; hedging; asset allocation
Fulltext: p 2325.pdf (521.81KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Growing evidence suggests that extraordinary average returns may be obtained by trading equity index options, and that at least part of this abnormal performance is attributable volatility and jump risk premia. This paper asks whether such priced risk factors are alone sufficient to explain these average returns. To provide an answer in as general as possible a setting. I estimate a flexible class of nonlinear models using all S & P 500 index futures options traded between 1986 and 2000. The results show that priced factors contribute to these expected returns but are insufficient to explain their magnitudes particularly for short term out of the money puts.

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