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The effects of taxation on put-call parity

✍ Scribed by Karen Alpert


Book ID
110936618
Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
321 KB
Volume
49
Category
Article
ISSN
0810-5391

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## 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