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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/72546

    Title: Price Discovery in the Option Markets: An Application of Put-Call Parity
    Authors: 謝文良;Lee, Chin-shen;Yuan, Shu-fang
    Contributors: 淡江大學財務金融學系
    Date: 2008-10-01
    Issue Date: 2011-10-24 10:32:56 (UTC+8)
    Abstract: This study investigates the relative rate of price discovery in Taiwan between index futures and index options, proposing a put‐call parity (PCP) approach to recover the spot index embedded in the options premiums. The PCP approach offers the benefits of reducing model risk and alleviating the burden of volatility estimation. Consistent with the trading‐cost hypothesis, a dominant tendency is found for futures and a subordinate but non‐trivial price discovery from options. The relative weight of options price discovery is sensitive to the methodology employed as the means of inferring the option‐implicit spot price. The empirical evidence suggests that the information contained in the PCP‐implied spot encompasses that provided by the Black‐Scholes‐implied spot.
    Relation: The Journal of Futures Markets
    DOI: 10.1002/fut.20302
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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