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• W2079843098 abstract "Many option pricing models are based on the assumption that the underlying asset price follows one-dimensional diffusion process. An alternative approach is to test the properties that should hold for all models based on a given stochastic process for the underlying asset. Following Perignon (2006), we test the empirical validity of the monotonicity property for option prices by collecting all transaction data from 1 July 2006 to 31 December 2006 for option contracts traded on the Taiwan Futures Exchange (TAIFEX). We find that sampled intraday option prices violate the monotonicity property between 29.97% and 57% of the time, and that call and put prices often increase, or decrease, together. We also find evidence to show that the frequent violations of the monotonicity property are to a large extent attributable to microstructure effects and that they arise from rational trading tactics." @default.
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• W2079843098 date "2011-09-01" @default.
• W2079843098 modified "2023-09-24" @default.
• W2079843098 title "The limitation of monotonicity property of option prices: an empirical evidence" @default.
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• W2079843098 doi "https://doi.org/10.1080/00036840903427265" @default.
• W2079843098 hasPublicationYear "2011" @default.
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