论文标题
与市场指数选项的随机套利
Stochastic arbitrage with market index options
论文作者
论文摘要
当可能构建提供积极期权溢价的选项组合时，会在期权市场中进行随机套利的机会，并且当与基础资产的直接投资结合使用时，产生了一个回报，从而随机地从基础资产的直接投资中支配了回报。我们提供线性和混合企业线性程序，用于计算随机套利机会，为投资者提供最大期权溢价。我们将程序应用于标准和poors 500指数的月度预订和调用选项的18年数据，没有发现有系统地存在随机套利机会的证据。稳定的市场回报分布的规格偏斜，并具有恒定的市场风险溢价和持续的乘法差异风险溢价，这与中等罢工时市场指数期权的定价基本上是一致的。
Opportunities for stochastic arbitrage in an options market arise when it is possible to construct a portfolio of options which provides a positive option premium and which, when combined with a direct investment in the underlying asset, generates a payoff which stochastically dominates the payoff from the direct investment in the underlying asset. We provide linear and mixed-integer linear programs for computing the stochastic arbitrage opportunity providing the maximum option premium to an investor. We apply our programs to 18 years of data on monthly put and call options on the Standard & Poors 500 index, finding no evidence that stochastic arbitrage opportunities are systematically present. A skewed specification of the underlying market return distribution with a constant market risk premium and constant multiplicative variance risk premium is broadly consistent with the pricing of market index options at moderate strikes.
