Why are Put Options so Expensive

By O. Bondarenko. 2014

213 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/49e7714a5b9053a64a4c9bee2bed05d1a9102254

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Citations in the corpus

Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees (2016, unknown): “Typically, index options are labeled as expensive because their prices consistently exceed values implied by standard models (Bondarenko, 2003). Driessen, Maenhout, and Vilkov (2009) argue that this is because index options provide a valuable hedge against increases in correlation, while individual ”
The Skew Risk Premium in the Equity Index Market (2013, unknown): “In the case of the negative OTM put returns for example, Bondarenko (2003) and Broadie et al. (2009) question the statistical signiﬁcance of the trading proﬁts (since they are so highly skewed) and also argue that the negative buy-and-hold OTM put returns could be explained by other risk factors…”
Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash (2011, background): “…the option pricing implications of models with state dependence in preferences and/or fundamentals; see, e.g., Bansal, Gallant, and Tauchen (2007), Bondarenko (2003), Brown and Jackwerth (2004), Buraschi and Jiltsov (2006), Chabi-Yo, Garcia, and Renault (2008), David and Veronesi (2002 and 2009),…”
Statistical Arbitrage and Securities Prices (2003, methodology): “We implement the methodology of this article in Bondarenko (2002) using the S&P 500 index futures options data.”
Option Strategies: Good Deals and Margin Calls (2009, unknown): “Other studies, for example Bakshi, Cao, and Chen (1997), Bates (2000), Benzoni (2001), Bondarenko (2003), Chernov and Ghysels (2000), Driessen and Maenhout (2003a), Eraker (2004), Jones (2004), Liu, Pan, and Wang (2005), and Pan (2002), find large volatility and jump risk premia.”
Demand-Based Option Pricing (2009, background): “The end-user demand for index options can help to explain the two puzzles that index options appear to be expensive, and that low-moneyness options seem to be especially expensive (Rubinstein 1994; Longstaff 1995; Bates 2000; Jackwerth 2000; Coval and Shumway 2001; Bondarenko 2003; Amin, Coval, and ”
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments (2010, background): “A new stream of literature tries to rationalize the magnitude of the risk premium based on biased beliefs and peso problems (Bondarenko (2003)), path-dependent preferences (Bates (2008)), ambiguity aversion (Liu, Pan, and Wang (2005)), net-buying and demand pressure (Bollen and Whaley (2004),…”
Aggregate Risk and the Choice between Cash and Lines of Credit (2010, unknown): “stock market index as a whole, documented by Bondarenko (2003), among others.”
Returns of claims on the upside and the viability of U-shaped pricing kernels (2010, unknown): “8% per month, whereas the index average return is positive over the same sample period (see also Bondarenko (2003)).”