淡江大學機構典藏:Item 987654321/72546
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    题名: Price Discovery in the Option Markets: An Application of Put-Call Parity
    作者: 謝文良;Lee, Chin-shen;Yuan, Shu-fang
    贡献者: 淡江大學財務金融學系
    日期: 2008-10-01
    上传时间: 2011-10-24 10:32:56 (UTC+8)
    摘要: 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.
    關聯: The Journal of Futures Markets
    DOI: 10.1002/fut.20302
    10.1002/fut.20302
    显示于类别:[財務金融學系暨研究所] 期刊論文

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