The effect of market sentiment and information asymmetry on option pricing

被引：4

作者：

Zghal, Imen ^{[1
]}

Ben Hamad, Salah ^{[2
]}

Eleuch, Hichem ^{[3
,4
]}

Nobanee, Haitham ^{[5
,6
,7
]}

机构：

[1] Univ Sfax, Fac Sci Econ & Gest, GFC Lab, Route Aerodrome Km 04, Sfax 3018, Tunisia

[2] Univ Sfax, Inst Hautes Etud Commerciales, MODEOR Lab, Route Sidi Mansour Km 10, Sfax 3061, Tunisia

[3] Texas A&M Univ, Inst Quantum Sci & Engn, College Stn, TX 77843 USA

[4] Abu Dhabi Univ, Coll Arts & Sci, Dept Appl Sci & Math, Abu Dhabi, U Arab Emirates

[5] Abu Dhabi Univ, Coll Business, POB 59911, Abu Dhabi, U Arab Emirates

[6] Univ Oxford, Oxford Ctr Islamic Studies, Marston Rd, Oxford OX3 0EE, England

[7] Univ Liverpool, Management Sch, Chatham Bldg,Chatham St, Liverpool L69 7ZH, Merseyside, England

来源：

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2020年 / 54卷

关键词：

Option pricing; Market imperfections; Information asymmetry; Market sentiment; Put-call parity; INVESTOR SENTIMENT; EMPIRICAL-EVIDENCE; CROSS-SECTION; STOCK-PRICES; VOLATILITY; FUTURES; MODEL; RISK; RETURNS; TRADERS;

D O I：

10.1016/j.najef.2020.101235

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This work addresses the impact of imperfections, such as information asymmetry and market sentiment, on the performance of option pricing models. More precisely, this work compares the option pricing model of Black and Scholes and the same model in the presence of imperfections. This study is based on S&P 500 options that cover the period between 17/03/2000 and 14/06/2013. The achieved results show that, in general, in the presence of imperfections, the model is more effective than the Black and Scholes model. This research appears to be promising for the incorporation of imperfections into the assessment of options.

引用

页数：16

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