Put-call parities and the value of early exercise for put options on a performance index

A study calculates the value of early exercise of a put option from deviations of the European put-call parity, using options on a performance index. Closing prices for options on the DAX index and traded on the Amsterdam Stock Exchange are used for the period May 12, 1992 to October 7, 1993. As hyp...

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Published inThe journal of futures markets Vol. 16; no. 1; pp. 71 - 80
Main Authors De Roon, Frans, Veld, Chris
Format Journal Article
LanguageEnglish
Published New York Wiley Subscription Services, Inc., A Wiley Company 01.02.1996
Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University
Wiley Periodicals Inc
Subjects
Economic models
Parity
Put & call options
Statistical analysis
Studies
Netherlands
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Abstract A study calculates the value of early exercise of a put option from deviations of the European put-call parity, using options on a performance index. Closing prices for options on the DAX index and traded on the Amsterdam Stock Exchange are used for the period May 12, 1992 to October 7, 1993. As hypothesized, the premium for early exercise is significantly and positively correlated with the moneyness, the volatility of the index and with interest rate. Contrary to expectations, a negative relationship with time to maturity is found. However, this relationship is not significant. The results may be particularly useful for the development of a correct model for pricing of American put options.
AbstractList A study calculates the value of early exercise of a put option from deviations of the European put-call parity, using options on a performance index. Closing prices for options on the DAX index and traded on the Amsterdam Stock Exchange are used for the period May 12, 1992 to October 7, 1993. As hypothesized, the premium for early exercise is significantly and positively correlated with the moneyness, the volatility of the index and with interest rate. Contrary to expectations, a negative relationship with time to maturity is found. However, this relationship is not significant. The results may be particularly useful for the development of a correct model for pricing of American put options.
Author De Roon, Frans
Veld, Chris
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Cites_doi 10.1086/260062
10.2307/2331247
10.2307/3003143
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Snippet A study calculates the value of early exercise of a put option from deviations of the European put-call parity, using options on a performance index. Closing...
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SubjectTerms Economic models
Parity
Put & call options
Statistical analysis
Studies
Title Put-call parities and the value of early exercise for put options on a performance index
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