|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
Stock exchanges United States
Options (Finance) United States
Investment analysis United States
|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. http://www.rfmjournals-archive.com/|
|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.|
|putcallparity-word-rfm-revision.pdf||Fulltext - Accepted Version||159.91 kB||Adobe PDF||Under Embargo until 3000-12-01 Request a copy|
Note: If any of the files in this item are currently embargoed, you can request a copy directly from the author by clicking the padlock icon above. However, this facility is dependent on the depositor still being contactable at their original email address.
This item is protected by original copyright
Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.
If you believe that any material held in STORRE infringes copyright, please contact email@example.com providing details and we will remove the Work from public display in STORRE and investigate your claim.