Black–Scholes 50 Years Later: Has the Outperformance of Passive Option Strategies Finally Faded?
Year: 2024
Type: article
Abstract: Slightly over fifty years ago, the Black–Scholes option pricing model revolutionized investing by enabling a shift from linear to non-linear payoff structures. Myron Scholes later published two papers documenting the performance of passive option strategies that outperformed the underlying index on a risk–return basis. The options market has evolved considerably over the last fifty years from an open outcry trading structure with options being single-listed to a high-frequency computer-based market. This paper re-evaluates the trilogy of foundational studies to determine whether passive-option-enhanced portfolios still produce superior performance in the current high-frequency options market environment.
DOI: 10.3390/ijfs12040114
Authors: Andrew Kumiega, Greg Sterijevski, Eric Wills
Institution: Illinois Institute of Technology
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $2,046
OpenAlex ID: W4404537459