RT Journal Article
T1 Smiles, Bid-ask Spreads and Option pricing
A1 Peña, Juan Ignacio
A1 Rubio, Gonzalo
A1 Serna, Gregorio
AB 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.
PB Wiley-Blackwell
SN 1354-7798 (print)
SN 1468-036X (online)
YR 2001
FD 2001
LK https://hdl.handle.net/10016/7112
UL https://hdl.handle.net/10016/7112
LA eng
DS e-Archivo
RD 19 may. 2024