## Abstract This study investigates the relative rate of price discovery in Taiwan between index futures and index options, proposing a put‐call parity (PCP) approach to recover the spot index embedded in the options premiums. The PCP approach offers the benefits of reducing model risk and alleviat
Put-call parity revisited: intradaily tests in the foreign currency options market
✍ Scribed by Mazen El-Mekkaoui; Mark D Flood
- Book ID
- 117699617
- Publisher
- Elsevier Science
- Year
- 1998
- Tongue
- English
- Weight
- 327 KB
- Volume
- 8
- Category
- Article
- ISSN
- 1042-4431
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
## Abstract This study examines the cross‐market efficiency of the Indian options and futures market using model‐free tests. The put–call–futures and put–call–index parity conditions are tested for European style Nifty Index options. Thirty‐five‐month time‐stamped transactions data are used to iden
long the reigning market for gold futures contracts, T introduced gold futures options in October of 1982. Immediate, sustained interest in the new contracts created a liquid market for options on COMEX gold futures contracts.' Trading in gold futures options occurs in close proximity to trading in