1.. Exchange-traded options on individual stocks have American-style exercise. Therefore, put-call parity does not hold exactly for...

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1.. Exchange-traded options on individual stocks have American-style exercise.

Therefore, put-call parity does not hold exactly for these options. Using option chain data from finance.yahoo.com or from the online version of The Wall Street Journal (wsj.com), compare the differences between selected call and put option prices with the differences between stock prices and discounted strike prices. You can find a short-term, riskless T-bill rate at reuters.com.

How closely does put-call parity appear to hold for these equity options with American-style exercise?

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Fundamentals Of Investments Valuation And Management

ISBN: 9781260013979

9th Edition

Authors: Bradford Jordan, Thomas Miller, Steve Dolvin

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