講題:Are Options Mis-Priced? - Analysis of Option Return Premia
講題摘要:
The first part of the talk will focus on the index option returns, and the second part will analyze the individual option returns.Previous research concludes that options are mispriced based on the high average returns, CAPM alphas, and Sharpe ratios of various trading strategies. In this seminar, we will examine whether option returns are excessive relative to their risks. We will look at various risk premia documented in the literature for both index and individual option returns.