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Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence

GEORGE M. CONSTANTINIDES, MICHAL CZERWONKO, JENS CARSTEN JACKWERTH, STYLIANOS PERRAKIS

The Journal of Finance, 2011. DOI 10.1111/j.1540-6261.2011.01665.x

Has this study been replicated?

The atlas records 1 replication of this study. Recorded outcomes: 1 failed.

Replications

• Mispricing of Index Options with Respect to Stochastic Dominance Bounds?, Wallmeier (2021). Outcome recorded: failed. we find that index options on the S&P 500, EuroStoxx 50 and DAX are priced almost perfectly in line with stochastic dominance bounds View paper

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