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ArticleAn ex ante analysis of put-call parity

Robert C. Klemkosky1980

Article1980

An ex ante analysis of put-call parity

Robert C. Klemkosky · Bruce G. Resnick

65 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1976Option pricing 1977An analytic valuation formula for unprotected American call options on stocks with known dividends 1969THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES 1980Trading costs for listed options 1977Tests of Market Efficiency of the Chicago Board Options Exchange 1979Put-Call Parity and Market Efficiency

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2000Put-call parity and the informational efficiency of the German DAX-index options market 1989The Box Spread Arbitrage Conditions: Theory, Tests, and Investment Strategies 1986Implied Interest Rates 2004Put–call parity and cross-markets efficiency in the index options markets: evidence from the Italian market 1992Put-call parity theory and an empirical test of the efficiency of the London Traded Options Market 2015Put–Call Parity and market frictions

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1985OPTIONS MARKET EFFICIENCY AND THE BOX SPREAD STRATEGYarticle · 9 shared references 2001Efficiency Tests of the French Index (CAC 40) Options Marketpreprint · 8 shared references 2000Empirical tests of efficiency of the Italian index options marketarticle · 7 shared references 1983Transactions data tests of efficiency of the Chicago board options exchangearticle · 6 shared references 1986Efficiency Tests of the Foreign Currency Options Marketarticle · 6 shared references 1976An algebra for evaluating hedge portfoliosarticle · 6 shared references

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Year1980

Typearticle

Published1980-12-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations65

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0304-405x(80)90008-2

openalex_workW2007223908

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1993

A transactions data analysis of arbitrage between index options and index futures

2001Efficiency Tests of the French Index (CAC 40) Options Market