Quote inefficiency in options markets

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dc.contributor.author Rodríguez Longarela, Iñaki
dc.contributor.author Mayoral, Silvia
dc.date.accessioned 2022-01-18T15:33:18Z
dc.date.available 2022-01-18T15:33:18Z
dc.date.issued 2015-06-01
dc.identifier.bibliographicCitation Longarela, I. R., and Mayoral, S. (2015). Quote inefficiency in options markets. Journal of Banking & Finance, 55, 23-36.
dc.identifier.issn 0378-4266
dc.identifier.uri http://hdl.handle.net/10016/33907
dc.description.abstract In an arbitrage-free economy with non-zero bid-ask spreads the existence of payoffs whose price is lower than the price of a dominated payoff cannot be discarded in general. However, when the former price corresponds to trivial portfolios which involve buying or selling one unit of the basis assets, its presence, although not an arbitrage, is a severe market anomaly which we refer to as an inefficient quote. In an empirical study, we report evidence that indicates that in options markets both the frequency and the magnitude of these anomalies are substantial and we document puzzling patterns in their behavior. (C) 2014 Elsevier B.V. All rights reserved.
dc.language.iso eng
dc.publisher Elsevier
dc.rights © 2014 Elsevier B.V. All rights reserved
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Inefficient quotes
dc.subject.other Bid-ask spread
dc.subject.other Law of one price
dc.subject.other Index options
dc.title Quote inefficiency in options markets
dc.type article
dc.subject.eciencia Empresa
dc.identifier.doi https://doi.org/10.1016/j.jbankfin.2014.11.003
dc.rights.accessRights openAccess
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 23
dc.identifier.publicationissue 6
dc.identifier.publicationlastpage 36
dc.identifier.publicationtitle Journal of Banking & Finance
dc.identifier.publicationvolume 55
dc.identifier.uxxi AR/0000017015
dc.affiliation.dpto UC3M. Departamento de Economía de la Empresa
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