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

We thank Oleg Bondarenko, Wolfgang Buehler, Jim Hodder, Robert Merton, Ingmar Nolte, Myron Scholes, Sorin Sorescu, Suresh Sundaresan, Michael Wolf, Campbell Harvey (the editor), the anonymous associate editor and referees, participants at the Second Mont Tremblant Risk Management conference, the ESSFM Gerzensee 2008 conference, the 2008 Conference on Financial Innovation at Vanderbilt University, the 2008 International Conference on Price, Liquidity, and Credit Risks at Konstanz University, seminars at Mannheim University, Tel Aviv University, the University of Cyprus, and Zurich University, and especially Russell Davidson for insightful comments and constructive criticism. We remain responsible for errors and omissions. Constantinides acknowledges financial support from the Center for Research in Security Prices, University of Chicago. Czerwonko and Perrakis acknowledge financial support from the Social Sciences and Humanities Research Council of Canada. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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