Download or read book Analysis of Option Returns in Perfect and Imperfect Markets written by David Salazar Volkmann and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The thesis studies index and equity option returns in perfect and imperfect markets to explain parts of the option mispricing puzzle. Perfect markets exist under informational efficiency, market completeness and frictionless trading. The thesis shows that an option-implied risk-adjusted approach and the standard Black-Scholes model are consistent with empirical mean and volatility of S&P500 put returns and ITM call returns, but not OTM call returns. Imperfect markets exist under market frictions which allow arbitrage-free deviations of option prices from fair value resulting in option retur...