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Appears in Collections:Accounting and Finance Journal Articles
Peer Review Status: Refereed
Title: Put-call parity and the early exercise premium for currency options
Author(s): Poitras, Geoffrey
Veld, Chris
Zabolotnyuk, Yuriy
Keywords: Put-call parity
Currency options
Early exercise premium
Black-Scholes option pricing model
Stock exchanges United States
Options (Finance) United States
Investment analysis United States
Issue Date: 2007
Date Deposited: 28-Jan-2009
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.
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