Add to ORKGPut-call parity is used to study the early exercise premium for currency options traded on the Philadelphia Stock Exchange. Using 564 pairs of call and put options evidence is provided that the early exercise premiums are on average 5.71% for put options and 6.88% for call options. The premiums for both call and put options are strongly related to time to maturity and the interest rate differential. These results are important when using a European option pricing model for the valuation of American options
Many financial derivatives contain the provision of the callable feature which allows the issuer to ...
This paper tests the impact of transactions cost specification on deviations from lower boundary and...
Due to the mispricing of options, no-arbitrage condition put-call parity (PCP) violations lead to in...
Put-call parity is used to study the early exercise premium for currency options traded on the Phila...
Previous studies on American options have shown that European style models do not reflect early exer...
This paper examines empirically the value of early exercise by testing the ability of two American p...
This paper examines empirically the value of early exercise by testing the ability of two American p...
This study examines the Put-Call Parity efficiency of the PHLX currency options market for the Deuts...
Based on option put-call parity relation, we derive model-free boundary conditions of option time va...
Lieu (1990) derived the put-call parity relationship for futures and futures option contracts where ...
We investigate the information content of the call (put) Early Exercise Premium, or EEP, defined as ...
This paper derives pricing equations for European puts and calls on formgn exchange. The call and pu...
Roll [ l l] demonstrates that the probability of early exercise of equity call options is low for s...
Unlike European-type derivative securities, there are no simple analytic valuation formulas for Amer...
This study examines the comparative magnitude of disturbances in intraday data for exchange traded f...
Many financial derivatives contain the provision of the callable feature which allows the issuer to ...
This paper tests the impact of transactions cost specification on deviations from lower boundary and...
Due to the mispricing of options, no-arbitrage condition put-call parity (PCP) violations lead to in...
Put-call parity is used to study the early exercise premium for currency options traded on the Phila...
Previous studies on American options have shown that European style models do not reflect early exer...
This paper examines empirically the value of early exercise by testing the ability of two American p...
This paper examines empirically the value of early exercise by testing the ability of two American p...
This study examines the Put-Call Parity efficiency of the PHLX currency options market for the Deuts...
Based on option put-call parity relation, we derive model-free boundary conditions of option time va...
Lieu (1990) derived the put-call parity relationship for futures and futures option contracts where ...
We investigate the information content of the call (put) Early Exercise Premium, or EEP, defined as ...
This paper derives pricing equations for European puts and calls on formgn exchange. The call and pu...
Roll [ l l] demonstrates that the probability of early exercise of equity call options is low for s...
Unlike European-type derivative securities, there are no simple analytic valuation formulas for Amer...
This study examines the comparative magnitude of disturbances in intraday data for exchange traded f...
Many financial derivatives contain the provision of the callable feature which allows the issuer to ...
This paper tests the impact of transactions cost specification on deviations from lower boundary and...
Due to the mispricing of options, no-arbitrage condition put-call parity (PCP) violations lead to in...