EMPIRICAL TEST OF PUT-CALL PARITY ON SPX OVER THE SHORT BAN 2008
نویسندگان
چکیده
منابع مشابه
A Note on the Call-Put Parity and a Call-Put Duality
Along with the well-known “call-put parity” relation, that makes it possible to express the rational price of a put option in terms of the rational price of a call option, we introduce a “call-put duality” relation. This new concept offers a simple explanation of the relationship between the rational price of a put option and a call option, not only for options of the European type, but also fo...
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15 صفحه اولAmerican Put Call Symmetry
We derive a simple relationship between the values and exercise boundaries of American puts and calls. The relationship holds for options with the same \moneyness", although the absolute level of the strike price and underlying may di er. The result holds in both the Black Scholes model and in a more general di usion setting. We thank Neil Chriss, the editor, and two anonymous referees for thei...
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ژورنال
عنوان ژورنال: VNU Journal of Science: Policy and Management Studies
سال: 2017
ISSN: 2588-1116,2588-1116
DOI: 10.25073/2588-1116/vnupam.4080