Put Call Parity: An Extension of Boundary Conditions

Gray S.F. (1989) Put Call Parity: An Extension of Boundary Conditions. Australian Journal of Management, 14 2: 151-169. doi:10.1177/031289628901400203


Author Gray S.F.
Title Put Call Parity: An Extension of Boundary Conditions
Journal name Australian Journal of Management   Check publisher's open access policy
ISSN 1327-2020
Publication date 1989-01-01
Sub-type Article (original research)
DOI 10.1177/031289628901400203
Volume 14
Issue 2
Start page 151
End page 169
Total pages 19
Subject 1400 Business, Management and Accounting
Abstract In this paper, the boundary conditions for put-call parity are extended to take into account the potential rational early exercise of an option and the possibility that dividends and capitalisation changes will differ from expectations. A series of statistical tests provide the basis for a conclusion in favour of put-call parity and the hypothesised risk-return relationships in the Australian exchange traded options market over the sample period.
Keyword ARBITRAGE
BOUNDARY CONDITIONS
OPTIONS
PUT-CALL PARITY
Q-Index Code C1
Institutional Status Unknown

Document type: Journal Article
Sub-type: Article (original research)
Collection: Scopus Import - Archived
 
Versions
Version Filter Type
Citation counts: Scopus Citation Count Cited 8 times in Scopus Article | Citations
Google Scholar Search Google Scholar
Created: Tue, 13 Sep 2016, 14:39:33 EST by System User