Do call prices and the underlying stock always move in the same direction?

• 成果类型: Article
• 署名作者: Bakshi, G; Cao, C; Chen, ZW
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University System of Maryland; University of Maryland College Park; Yale University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/13.3.549
• 发表日期: 2000
• 页码: 549
• 关键词: OPTION PRICING-MODELS; stochastic volatility; implied volatility; tests; valuation

摘要

This article empirically analyzes some properties shared by all one-dimensional diffusion option models. Using S&P 500 options, we find that sampled intraday (or interday) call (put) prices often go down (up) even as the underlying price goes up, and call and put prices often increase, or decrease, together. Our results are valid after controlling for time decay and market microstructure effects. Therefore one-dimensional diffusion option models cannot be completely consistent with observed option price dynamics; options are nor redundant securities, nor ideal hedging instruments-puts and the underlying asset prices may go down together.