Poitras, G., Veld, C. and Zabolotnyuk, Y. (2007) Put-call parity and the early exercise premium for currency options. Review of Futures Markets, 16(2), Art. 1.
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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, we provide evidence 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 America n options.
| Item Type: | Articles |
|---|---|
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | Veld, Professor Chris |
| Authors: | Poitras, G., Veld, C., and Zabolotnyuk, Y. |
| Subjects: | H Social Sciences > HG Finance |
| College/School: | College of Social Sciences > Adam Smith Business School > Accounting and Finance |
| Journal Name: | Review of Futures Markets |
| ISSN: | 1933-7116 |
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