Put Call Parity: An Extension of Boundary Conditions

In this paper, the boundary conditions for put-call parity are extended to take into account the potential rational early exercise of an option and the possibility that dividends and capitalisation changes will differ from expectations. A series of statistical tests provide the basis for a conclusion in favour of put-call parity and the hypothesised risk-return relationships in the Australian exchange traded options market over the sample period.

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Year of publication:	1989
Authors:	Gray, Stephen F.
Published in:	Australian Journal of Management. - Australian School of Business. - Vol. 14.1989, 2, p. 151-169
Publisher:	Australian School of Business
Subject:	OPTIONS \| PUT-CALL PARITY \| BOUNDARY CONDITIONS \| ARBITRAGE

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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