The Tradability Premium on the S&P 500 Index

被引：0

作者：

Gourieroux, Christian ^{[1
,2
]}

Jasiak, Joann ^{[3
]}

Xu, Peng ^{[4
]}

机构：

[1] CREST, Brendale, Qld, Australia

[2] Univ Toronto, Toronto, ON M5S 1A1, Canada

[3] York Univ, N York, ON M3J 1P3, Canada

[4] ESSEC Business Sch, Asia Pacific Campus,2 One North Gateway, Singapore 138502, Singapore

来源：

JOURNAL OF FINANCIAL ECONOMETRICS | 2016年 / 14卷 / 03期

关键词：

generalized method of moments; index derivatives; liquidity premium; mispricing; nontradable index; tradability premium; C13; C51; G12; G13; TERM STRUCTURE; STOCHASTIC VOLATILITY; OPTIONS; FUTURES; PRICES;

D O I：

10.1093/jjfinec/nbv019

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We derive a coherent multifactor model for pricing various derivatives written on the same underlying (potentially nontradable) asset. We show the difference between a case in which the underlying asset is self-financed and tradable and a case in which it is not. In the first case, an additional arbitrage condition must be introduced, which implies nontrivial parameter restrictions. These restrictions can be empirically tested to check whether the derivatives are priced as if the underlying were self-financed and tradable. This methodology allows us to define the tradability premium. As an illustration, we compute a daily tradability premium for the S&P 500.

引用

页码：461 / 495

页数：35

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