Put-Call Parity and the Early Exercise Premium for Currency Options
Author | : Chris Veld |
Publisher | : |
Total Pages | : 8 |
Release | : 2005 |
ISBN-10 | : OCLC:1290343323 |
ISBN-13 | : |
Rating | : 4/5 (23 Downloads) |
Download or read book Put-Call Parity and the Early Exercise Premium for Currency Options written by Chris Veld and published by . This book was released on 2005 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 evidence is provided that the early exercise premia is 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 American options.