European Options and Fixed Cost Spreads

This paper revisits the put-call parity condition for European options, on both non-dividend paying and dividend stocks, in presence of fixed costs spreads. It demonstrates that becomes a set inequalities under these conditions. A model patterned Roll cost bid-ask spreads is postulated, its estimation using generalized method moments (GMM) approach, suggested. Finally, spreads, options non-dividend-paying stocks may have negative time value, unlike case such absence Also, due to there could be situations, where calls puts with same exercise price are simultaneously exercised.