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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In: Mathematical finance, 2008, vol. 18, no. 1, p. 23-54
In this paper we propose a model of financial markets in which agents have limited ability to trade and no probability is given from the outset. In the absence of arbitrage opportunities, assets are priced according to a probability measure that lacks countable additivity. Despite finite additivity, we obtain an explicit representation of the expected value with respect to the pricing measure,...
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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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