Put call party is a theoretical no-arbitrage condition linking a call option price to a put option price witten on the same stock or index. This study finds that Put call parity violations are quite symmetric over the whole sample. However during the ban period 2008 in the U.S., puts are significantly and economically overpriced ralative to calls. Some possible explations are the short selling restriction, momentum trading behaviour and the changes in supply and demand of puts over the short ban. One interesting finding is that the relationship between time to expiry, put call parity deviations and returns on the index is highly non-liner.
Size : 1,67 MB
Format : Adobe PDF
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Put call party is a theoretical no-arbitrage condition linking a call option price to a put option price witten on the same stock or index. This study finds that Put call parity violations are quite symmetric over the whole sample. However during the ban period 2008 in the U.S., puts are significantly and economically overpriced ralative to calls. Some possible explations are the short selling restriction, momentum trading behaviour and the changes in supply and demand of puts over the short ban. One interesting finding is that the relationship between time to expiry, put call parity deviations and returns on the index is highly non-liner.
Size : 1,67 MB
Format : Adobe PDF
