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Commodity option pricing efficiency before Black, Scholes, and Merton
The Economic History Review ( IF 2.487 ) Pub Date : 2019-10-09 , DOI: 10.1111/ehr.12935 David Chambers 1 , Rasheed Saleuddin 2
The Economic History Review ( IF 2.487 ) Pub Date : 2019-10-09 , DOI: 10.1111/ehr.12935 David Chambers 1 , Rasheed Saleuddin 2
Affiliation
It is often thought that the arrival of the Black–Scholes–Merton (BSM) model of option pricing in the early 1970s allowed traders to understand how to price and value options with greater precision. However, our study suggests that interwar commodity options traders may have been able to intuit ‘fair’ value and to adjust their prices to changes in the market environment well before the advent of this innovative model. A scarcity of historical price data has limited empirical tests of option price efficiency well before BSM to studies of stock options in the 1870s and the early twentieth century which revealed contrasting findings. This study deals with option pricing in a different market—commodities—during the interwar period. We conclude that option prices were closer to their BSM theoretical values than prior studies suggest. Institutional differences between interwar commodity options markets and stock options markets in the 1870s and the early twentieth century may partly account for this result. Furthermore, we find that interwar option prices were no more mispriced than in modern times, and were as sensitive to changes in volatility—the key valuation parameter in the BSM model.
中文翻译:
布莱克,斯科尔斯和默顿之前的商品期权定价效率
人们通常认为,1970年代初布莱克-斯科尔斯-默顿(BSM)期权定价模型的出现使交易者能够更精确地了解如何对期权进行定价和估值。但是,我们的研究表明,在这种创新模型问世之前,两次战争之间的商品期权交易者可能已经能够感知“公平”价值并根据市场环境的变化调整价格。历史价格数据的稀缺性限制了对期权价格效率的实证检验,早在BSM之前就对1870年代和20世纪初的股票期权进行了研究,结果揭示了相反的结果。这项研究研究的是两次大战期间不同市场(商品)中的期权定价。我们得出的结论是,期权价格比之前的研究结果更接近其BSM理论值。1870年代和20世纪初的战时商品期权市场与股票期权市场之间的制度差异可能部分解释了这一结果。此外,我们发现两次战争之间的期权价格没有比现代错误定价,并且对波动率的变化(BSM模型中的关键估值参数)同样敏感。
更新日期:2019-10-09
中文翻译:
布莱克,斯科尔斯和默顿之前的商品期权定价效率
人们通常认为,1970年代初布莱克-斯科尔斯-默顿(BSM)期权定价模型的出现使交易者能够更精确地了解如何对期权进行定价和估值。但是,我们的研究表明,在这种创新模型问世之前,两次战争之间的商品期权交易者可能已经能够感知“公平”价值并根据市场环境的变化调整价格。历史价格数据的稀缺性限制了对期权价格效率的实证检验,早在BSM之前就对1870年代和20世纪初的股票期权进行了研究,结果揭示了相反的结果。这项研究研究的是两次大战期间不同市场(商品)中的期权定价。我们得出的结论是,期权价格比之前的研究结果更接近其BSM理论值。1870年代和20世纪初的战时商品期权市场与股票期权市场之间的制度差异可能部分解释了这一结果。此外,我们发现两次战争之间的期权价格没有比现代错误定价,并且对波动率的变化(BSM模型中的关键估值参数)同样敏感。