• Skip to main content
  • Skip to footer

OptionMetrics

search
  • About Us
    • Who We Serve
    • Why OptionMetrics
    • Leadership
  • Data Products
    • Equities
      • United States
      • Europe
      • Asia
      • Canada
      • ETFs
    • Futures
    • Signed Volume
    • Implied Beta
    • Dividend
      • Implied Dividend
      • Dividend Forecasting
  • Research
  • Blog
  • News & Events
  • Careers
  • Contact

N. Fusari, R. Jarrow, S. Lamichhane: Testing for Asset Price Bubbles using Options Data

August 10, 2020

We present a new approach to identifying asset price bubbles based on options data. Given their forward-looking nature, options are ideal instruments with which to investigate market expectations about the future evolution of asset prices, which are key to understanding price bubbles. By exploiting the differential pricing between put and call options, we can detect and quantify bubbles in the prices of underlying asset. We apply our methodology to two stock market indexes, the S&P 500 and the Nasdaq-100, and two technology stocks, Amazon and Facebook, over the 2014-2018 sample period.

Download

Share this post:
  • Facebook
  • Pinterest
  • Twitter
  • Linkedin
OptionMetrics Logo
  • About Us
  • Who We Serve
  • Why OptionMetrics
  • Leadership
  • Data Products
  • Equities
  • Futures
  • Signed Volume
  • Implied Beta
  • Dividend
  • Research
  • Blog
  • News & Events
  • Careers
  • Contact Us
  • Support Request
Stay Connected

dashicons-linkedin dashicons-twitter dashicons-facebook-alt

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply

© 2025 OptionMetrics, LLC. All Rights Reserved. | Privacy Policy | Terms of Use | Accessibility | Site Map