This paper investigates the put-call parity (PCP) relation using options on futures on the Standard and Poor's 500 (S&P 500) Index using daily closing options and futures prices between 2nd January and 31st December, 2001. Results obtained demonstrate that the inclusion of transaction costs in...

It is generally said that out-of-the-money call options are expensive and one can ask the question from which moneyness level this is the case. Expensive actually means that the price one pays for the option is more than the discounted average payoff one receives. If so, the option bears a...