A Horse Race Among Competing Option Pricing Models using S&P 500 Index Options

摘要：

The last three decades have witnessed a plethora of option pricing models. We compare the predictive performances of a selection of models by carrying out a horse race on S&P 500 index options along the lines of Jackwerth and Rubinstein (2001). Trader rules dominate mathematically more sophisticated models, and the performance of the trader rules is further improved by incorporating the stable index skew pattern documented in Li and Pearson (2005). Furthermore, after incorporating the stable index skew pattern, the Black-Scholes model beats all mathematically more sophisticated models in almost all cases. Mathematically more so- phisticated models vary in their overall performance and their relative accuracy in forecasting future volatility levels and future volatility skew shapes.

作者: Minqiang Li Neil D. Pearson

作者单位: College of Management,Georgia Institute of Technology,Atlanta,GA,30332 Department of Finance,University of Illinois at Urbana-Champaign,1206 South Sixth Street,Champaign,I

会议类型: 国际会议

会议名称: 2008年中国金融国际年会

会议地点: 大连

会议语种:英文

页码: 1-34

在线出版日期: 2008-07-02（万方平台首次上网日期，不代表论文的发表时间）