|Appears in Collections:||Accounting and Finance Journal Articles|
|Peer Review Status:||Refereed|
|Title:||Put-call parity and the early exercise premium for currency options|
Early exercise premium
Black-Scholes option pricing model
|Publisher:||Review of Futures Markets at Kent State University (USA)|
|Citation:||Poitras G, Veld C & Zabolotnyuk Y (2007) Put-call parity and the early exercise premium for currency options, Review of Futures Markets, 16, pp. 159-169.|
|Abstract:||Put-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.|
|Rights:||The publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author; you can only request a copy if you wish to use this work for your own research or private study.|
|Affiliation:||Simon Fraser University|
University of Glasgow
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