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Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/718
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dc.contributor.authorPoitras, Geoffreyen_UK
dc.contributor.authorVeld, Chrisen_UK
dc.contributor.authorZabolotnyuk, Yuriyen_UK
dc.date.accessioned2012-04-29T19:45:03Z-
dc.date.available2012-04-29T19:45:03Z-
dc.date.issued2007en_UK
dc.identifier.urihttp://hdl.handle.net/1893/718-
dc.description.abstractPut-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.en_UK
dc.language.isoenen_UK
dc.publisherReview of Futures Markets at Kent State University (USA)en_UK
dc.relationPoitras 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. http://www.rfmjournals-archive.com/en_UK
dc.rightsThe 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.en_UK
dc.rights.urihttp://www.rioxx.net/licenses/under-embargo-all-rights-reserveden_UK
dc.subjectPut-call parityen_UK
dc.subjectCurrency optionsen_UK
dc.subjectEarly exercise premiumen_UK
dc.subjectBlack-Scholes option pricing modelen_UK
dc.subjectStock exchanges United Statesen_UK
dc.subjectOptions (Finance) United Statesen_UK
dc.subjectInvestment analysis United Statesen_UK
dc.titlePut-call parity and the early exercise premium for currency optionsen_UK
dc.typeJournal Articleen_UK
dc.rights.embargodate3000-12-01en_UK
dc.rights.embargoreason[putcallparity-word-rfm-revision.pdf] The publisher does not allow this work to be made publicly available in this Repository therefore there is an embargo on the full text of the work.en_UK
dc.citation.jtitleReview of Futures Marketsen_UK
dc.citation.issn0898-011Xen_UK
dc.citation.volume16en_UK
dc.citation.spage159en_UK
dc.citation.epage169en_UK
dc.citation.publicationstatusPublisheden_UK
dc.citation.peerreviewedRefereeden_UK
dc.type.statusAM - Accepted Manuscripten_UK
dc.identifier.urlhttp://www.rfmjournals-archive.com/en_UK
dc.contributor.affiliationSimon Fraser Universityen_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.contributor.affiliationCarleton Universityen_UK
dc.identifier.wtid842595en_UK
dcterms.dateAccepted2007-12-31en_UK
dc.date.filedepositdate2009-01-28en_UK
rioxxterms.typeJournal Article/Reviewen_UK
rioxxterms.versionAMen_UK
local.rioxx.authorPoitras, Geoffrey|en_UK
local.rioxx.authorVeld, Chris|en_UK
local.rioxx.authorZabolotnyuk, Yuriy|en_UK
local.rioxx.projectInternal Project|University of Stirling|https://isni.org/isni/0000000122484331en_UK
local.rioxx.freetoreaddate3000-12-01en_UK
local.rioxx.licencehttp://www.rioxx.net/licenses/under-embargo-all-rights-reserved||en_UK
local.rioxx.filenameputcallparity-word-rfm-revision.pdfen_UK
local.rioxx.filecount1en_UK
local.rioxx.source0898-011Xen_UK
Appears in Collections:Accounting and Finance Journal Articles

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