𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Put–call parity and cross-markets efficiency in the index options markets: evidence from the Italian market

✍ Scribed by Marianna Brunetti; Costanza Torricelli

Book ID
116577247
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
475 KB
Volume
14
Category
Article
ISSN
1057-5219

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Cross-market efficiency in the Indian de
Cross-market efficiency in the Indian derivatives market: A test of put–call parity
✍ Vipul 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 149 KB

## 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

Price discovery in the options markets:
Price discovery in the options markets: An application of put-call parity
✍ Wen-Liang G. Hsieh; Chin-Shen Lee; Shu-Fang Yuan 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 336 KB

## 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

Lower-boundary violations and market eff
Lower-boundary violations and market efficiency: Evidence from the German DAX-index options market
✍ Mittnik, Stefan; Rieken, Sascha 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 319 KB

The informational efficiency of the market for options on the German stock index DAX is examined using intraday transactions data. Problems of previous studies on options-market efficiency, arising from dividend estimation and the early-exercise effect, are avoided, because the DAX is a performance