In: International review of financial analysis, 2006, vol. 15, no. 2, p. 145-178
We analyze the volatility surface vs. moneyness and time to expiration implied by MIBO options written on the MIB30, the most important Italian stock index. We specify and fit a number of models of the implied volatility surface and find that it has a rich and interesting structure that strongly departs from a constant volatility, Black-Scholes benchmark. This result is robust to alternative...
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In: Economic notes, 2004, vol. 33, no. 2, p. 275-321
We analyze the pricing and informational efficiency of the Italian market for options written on the most important stock index, the MIB30. We report that a striking percentage of the data consists of option prices violating basic no-arbitrage conditions. This percentage declines when we relax the no-arbitrage restrictions to accommodate for the presence of bid/ask spreads and other...
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We analyze the pricing and informational effciency of the Italian market for options written on the most important stock index, the MIB30. We find several indications inconsistent with the hypothesis that the Italian MIBO is an effcient market. We report that a striking percentage of the data consists of option prices violating basic no-arbitrage conditions. This percentage declines but never...
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