A la Recherche du Temps Perdu : Legal and Quantitative analysis of the First Documented Option Market - Paris 1844-1939 - HAL-SHS - Sciences de l'Homme et de la Société Accéder directement au contenu
Autre Publication Scientifique Documents de travail du Centre d'Économie de la Sorbonne Année : 2022

A la Recherche du Temps Perdu : Legal and Quantitative analysis of the First Documented Option Market - Paris 1844-1939

Résumé

We provide the first ever quantitative analysis of pricing and profitability of option trading in Paris from 1843 to 1939 based on a data source featuring more than 75,000 option prices. Using a special case of the Black (1976) option pricing model, we show that, albeit options were consistently undervalued, the market was still profitable for all the parties. We prove that the exceptional longevity of the Paris options market was based on a 4-pillars market microstructure: (1.) systematic underpricing of cheap options to attract gamblers, (2.) administration of settlement price by the brokers' syndicate, (3.) parimutuel-like betting operation and safety thanks to (4.) a sophisticated risk management in the position-taking style which minimized actual clearing price manipulation.
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Dates et versions

halshs-03815575 , version 1 (14-10-2022)

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  • HAL Id : halshs-03815575 , version 1

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Antoine Parent, Pierre-Charles Pradier. A la Recherche du Temps Perdu : Legal and Quantitative analysis of the First Documented Option Market - Paris 1844-1939. 2022. ⟨halshs-03815575⟩
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