European Put-Call Parity and the Early Exercise Premium for American Currency Options

The European put-call parity condition is used to estimate the early exercise premium for American currency options traded on the Philadelphia Stock Exchange. Using a sample of 331 pairs of call and put options with the same exercise price and time to expiration, evidence is provided for early exerc...

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Veröffentlicht in:	Multinational finance journal 2009-03, Vol.13 (1/2), p.39-54
Hauptverfasser:	Poitras, Geoffrey, Veld, Chris, Zabolotnyuk, Yuriy
Format:	Artikel
Sprache:	eng
Schlagworte:	Interest rates Put & call options Securities prices Studies
Online-Zugang:	Volltext
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