Analysis of option returns in perfect and imperfect markets

von David Salazar Volkmann
Dissertation
Datum der mündl. Prüfung:2020-05-15
Erschienen:2020-05-20
Betreuer:Prof. Dr. Olaf Korn
Gutachter:Prof. Dr. Olaf Korn
Gutachter:Prof. Dr. Marliese Uhrig-Homburg
Gutachter:Prof. Dr. Helmut Herwartz
Zum Verlinken/Zitieren: http://dx.doi.org/10.53846/goediss-7984

 

 

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Zusammenfassung

Englisch

The thesis studies index and equity option returns in perfect and imperfect markets to explain parts of the option mispricing puzzle. Perfect markets exist under informational efficiency, market completeness and frictionless trading. The thesis shows that an option-implied risk-adjusted approach and the standard Black-Scholes model are consistent with empirical mean and volatility of S&P500 put returns and ITM call returns, but not OTM call returns. Imperfect markets exist under market frictions which allow arbitrage-free deviations of option prices from fair value resulting in option return premiums. The thesis explains delta-hedged stock option return premiums through the conditional low volatility effect.
Keywords: Option Mispricing Puzzle, Option Return, Option Volatility, Low Volatility Effect
 
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