English  |  正體中文  |  简体中文  |  Items with full text/Total items : 58017/91564 (63%)
Visitors : 13708299      Online Users : 61
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/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
    10.1002/fut.20302
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML35View/Open
    全文.pdf327KbAdobe PDF166View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback