Mispricing of Index Options with Respect to Stochastic Dominance Bounds ? A Reply

@inproceedings{Constantinides2017MispricingOI,
  title={Mispricing of Index Options with Respect to Stochastic Dominance Bounds ? A Reply},
  author={George M. Constantinides and MICHAL CZERWONKO and JENS CARSTEN JACKWERTH and Stylianos Perrakis},
  year={2017}
}
Constantinides and Perrakis (2002, 2007) derive a lower bound on the price of an option such that an investor increases her utility by buying the option at the ask price if the ask price is lower than the lower bound; and by writing the option at the bid price if the bid price is higher than upper bound. Contrary to the evidence in Constantinides, Jackwerth… CONTINUE READING