The relative mispricing of the constant variance American put model

@inproceedings{Hadjiyannakis1998TheRM,
  title={The relative mispricing of the constant variance American put model},
  author={Steve Hadjiyannakis and Louis Borna Culumovic and Robert Welch},
  year={1998}
}
Abstract This paper finds significant mispricing between puts differing only in their exercise price or maturity on the Chicago Board Options Exchange (CBOE) for 1987, 1988 and 1989. Using a matched pair design and implied standard deviations (ISDs) of the constant variance American put model, this relative mispricing exceeds 16.8% for one quarter of the 17,788 pairs differing only in maturity (hereafter referred to as T pairs) and 12.6% for one quarter of the 21,571 pairs differing only in… CONTINUE READING