BIBFRAME Work

Title

Are options on index futures profitable for risk averse investors? empirical evidence

Type

  • Monograph
  • Text

Contribution

Language

Classification

ClassificationLcc: HB1

Supplementary content

Content

Summary

"American options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2007) from 1983 to 2006 are identified as potentially profitable trades. Call bid prices more frequently violate their upper bound than put bid prices do, while violations of the lower bounds by ask prices are infrequent. In out of sample tests of stochastic dominance, the writing of options that violate the upper bound increases the expected utility of any risk averse investor holding the market and cash, net of transaction costs and bid ask spreads. The results are economically significant and robust"--National Bureau of Economic Research web site.

Authorized Access Point

Are options on index futures profitable for risk averse investors? empirical evidence

Admin Metadata

  • Date: 2026-07-07T22:44:04.082815+00:00
  • Agent: bcld
  • Status: c
  • Derived from: 16481136

Admin Metadata

  • Date: 2026-07-07
  • Cataloger id: Unknown
  • Description level: bibframe-2-6-0
  • Description language: eng
  • Description authentication: pcc

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