By: polipolio on Giovedì 24 Novembre 2005 18:40
A proposito di opzioni, nel libro di Mandelbrot The Misbehavior of Markets (http://www.amazon.com/gp/product/0465043550/002-4485108-0929625?v=glance&n=283155&%5Fencoding=UTF8&v=glance)
si ricorda che, a causa degli errori concettuali insiti nella Black & Scholes il mercato sottostima il rischio e quindi sovrapprezza l'equity e sottoprezza le options.
In genere, quindi, è sempre bene ricordare che le opzioni è meglio comprarle che venderle (i.e. mentre quando la volatilità è bassa si comprano e basta, quando la vola è alta si presti una grande attenzione nel venderle)
Da un commento su Amazon
The author renders a brilliant critique of modern finance theory. He criticizes all its components, including CAPM, the Efficient Market Hypothesis, and the Black Scholes model as being flawed. All these theories rely on two main assumptions. The first one is that market prices are normally distributed. The author, using price charts, demonstrates that market prices do not follow a normal distribution; but instead a Cauchy distribution. Such a distribution is associated with fatter tails. This means that catastrophic drop in market prices happen more frequently than a normal distribution suggests. The second assumption of modern finance is that market prices are independent of each other. Yesterday's prices have no influence on today's. The author makes a case that even if prices are not correlated, their volatility is correlated over time. Thus, big price swings tend to cluster. If a stock moved by 10% yesterday, it is likely it will move by an above average amount today even if we don't know the direction of that change. He calls this correlation of volatility (instead of price) long-term dependence.
Because the two main assumptions of modern finance are flawed, all related models are flawed as they understate risk. If such models understate risk, they actually overprice stocks and underprice options, and also understate the capital financial institutions should hold to withstand market risk.