Put-call parities and the value of early exercise for put options on a performance index

Journal of Futures Markets

Volumn 16, Issue 1, 1996, Pages 71-80

  De Roon, Frans ^a   Veld, Chris ^a  

^a TILBURG UNIVERSITY   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030540183     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(sici)1096-9934(199602)16:1<71::aid-fut4>3.0.co;2-e     Document Type: Article

References (8)

1. Black, F., and Scholes, M. (1973): "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, 81:637-654.
2. Chance, D.M. (1987): "Parity Tests of Index Options," Advances in Futures and Options Research, 2:47-64.
3. Geske, R., and Johnson, H.E. (1984): "The American Put Valued Analytically," The Journal of Finance, 39:1511-1524.
4. Grünbichler, A., and Callahan, T.W. (1994): "Stock Index Arbitrage in Germany: The Behavior of the DAX Index Futures Prices," Review of Futures Markets (forthcoming).
5. Jarrow, R.A., and Rudd, A. (1983): Option Pricing. Homewood, IL: Richard D. Irwin.
6. Merton, R.C. (1973): "Theory of Rational Option Pricing," Bell Journal of Economics and Management Science, 4:141-183.
7. Wei, J.Z. (1992): "Pricing Nikkei Put Warrants," Journal of Multinational Financial Management, 2:45-75.
8. Zivney, T.L. (1991): "The Value of Early Exercise in Option Prices: An Empirical Investigation," Journal of Financial and Quantitative Analysis, 26:129-138.