Smiles, Bid-ask Spreads and Option pricing

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Mostrar el registro sencillo del ítem Peña Sánchez de Rivera, Juan Ignacio Rubio, Gonzalo Serna, Gregorio 2010-03-03T12:11:11Z 2010-03-03T12:11:11Z 2001
dc.identifier.bibliographicCitation European Financial Management, 2001, vol. 7, nº 3, p.351-374.
dc.identifier.issn 1354-7798 (print)
dc.identifier.issn 1468-036X (online)
dc.description.abstract Given the evidence provided by Longstaff (1995), and Peña, Rubio and Serna (1999) a serious candidate to explain the pronounced pattern of volatility estimates across exercise prices might be related to liquidity costs. Using all calls and puts transacted between 16:00 and 16:45 on the Spanish IBEX‐35 index futures from January 1994 to October 1998 we extend previous papers to study the influence of liquidity costs, as proxied by the relative bid‐ask spread, on the pricing of options. Surprisingly, alternative parametric option pricing models incorporating the bid‐ask spread seem to perform poorly relative to Black‐Scholes.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Wiley-Blackwell
dc.rights ©Wiley-Blackwell
dc.subject.other smiles
dc.subject.other bid-ask spread
dc.subject.other implied volatility function
dc.subject.other option pricing
dc.title Smiles, Bid-ask Spreads and Option pricing
dc.type article PeerReviewed
dc.description.status Publicado
dc.subject.eciencia Empresa
dc.rights.accessRights openAccess
dc.identifier.publicationfirstpage 351
dc.identifier.publicationissue 3
dc.identifier.publicationtitle European Financial Management
dc.identifier.publicationvolume 7
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