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An ex ante analysis of put-call parity

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References

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2005Theory of rational option pricing7,161 cited
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1969THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES377 cited
1980Trading costs for listed options207 cited
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1979Put-Call Parity and Market Efficiency147 cited
1973THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES: COMMENT110 cited
1974Transactions costs and the relationship between put and call prices98 cited
1978Empirical tests of boundary conditions for CBOE options84 cited

Cited by

2000Put-call parity and the informational efficiency of the German DAX-index options market57 cited
1989The Box Spread Arbitrage Conditions: Theory, Tests, and Investment Strategies55 cited
1986Implied Interest Rates52 cited
2004Put–call parity and cross-markets efficiency in the index options markets: evidence from the Italian market51 cited

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1992Put-call parity theory and an empirical test of the efficiency of the London Traded Options Market47 cited

2015Put–Call Parity and market frictions42 cited

1993A transactions data analysis of arbitrage between index options and index futures42 cited

2001Efficiency Tests of the French Index (CAC 40) Options Market39 cited

1985OPTIONS MARKET EFFICIENCY AND THE BOX SPREAD STRATEGY30 cited

1996The Factors Behind Put‐Call Parity Violations of S&P 100 Index Options26 cited