Constantinides, G., Czerwonko, M., Jackwerth, J. and Perrakis, S. (2011) Are Options on Index Futures Profitable for Risk-Averse Investors? Empirical Evidence. Journal of Finance, 66, 1407-1437.
https://doi.org/10.1111/j.1540-6261.2011.01665.x

has been cited by the following article:

• TITLE: Are Mispricings Long-Lasting or Short-Lived? Evidence from S & P 500 Index ETF Options

  AUTHORS: Feng Jiao

  KEYWORDS: Stochastic Dominance, Index Option, High-Frequency Trading

  JOURNAL NAME: Theoretical Economics Letters, Vol.8 No.3, February 12, 2018

  ABSTRACT: A rapidly growing literature has documented evidences suggesting the mispricing of options. Building on recent results of option pricing bounds imposed by stochastic dominance, this paper examines the time-series proprieties of such mispricing. In an application to high-frequency bid/ask quotes of S & P 500 index ETF options, this paper provides evidences that most violations of the stochastic dominance bounds last no more than 10 trading hours. The typical duration of mispricing is even shorter for near to maturity options. The results imply that the observed widespread mispricing in options might be the result of temporary inefficiency (e.g. transaction costs, overreaction, liquidity etc.) rather than a model misspecification, such as estimation biases of the parameters, or an overlooked persistent risk factor.