Answered step by step
Verified Expert Solution
Question
1 Approved Answer
Use the following data to check if putcall parity for american options S0-K
Use the following data to check if putcall parity for american options S0-K<=C-P<=S0-Ke^(-rT) holds or not. And use T test to check it.
ticker | last | ticker | last | ||||
19-May-17 (22day); CSize 100; R .97; IFwd 226.22 | C | K | R | T | S0 | P | |
GS 5/19/17 C220 | 7.800000191 | 220 | 0.97 | 0.060273973 | 225.81 | GS 5/19/17 P220 | 1.870000005 |
GS 5/19/17 C222.5 | 6.369999886 | 222.5 | 0.97 | 0.060273973 | 225.81 | GS 5/19/17 P222.5 | 2.5 |
GS 5/19/17 C225 | 4.5 | 225 | 0.97 | 0.060273973 | 225.81 | GS 5/19/17 P225 | 3.559999943 |
GS 5/19/17 C227.5 | 3.440000057 | 227.5 | 0.97 | 0.060273973 | 225.81 | GS 5/19/17 P227.5 | 4.949999809 |
GS 5/19/17 C230 | 2.299999952 | 230 | 0.97 | 0.060273973 | 225.81 | GS 5/19/17 P230 | 6.260000229 |
16-Jun-17 (50day); CSize 100; IDIV .75 USD; R 1.02; IFwd 225.68 | |||||||
GS 6/16/17 C215 | 12.35000038 | 215 | 1.02 | 0.136986301 | 225.81 | GS 6/16/17 P215 | 2.609999895 |
GS 6/16/17 C220 | 9.850000381 | 220 | 1.02 | 0.136986301 | 225.81 | GS 6/16/17 P220 | 4.03000021 |
GS 6/16/17 C225 | 6.5 | 225 | 1.02 | 0.136986301 | 225.81 | GS 6/16/17 P225 | 5.849999905 |
GS 6/16/17 C230 | 4.150000095 | 230 | 1.02 | 0.136986301 | 225.81 | GS 6/16/17 P230 | 8.649999619 |
GS 6/16/17 C235 | 2.49000001 | 235 | 1.02 | 0.136986301 | 225.81 | GS 6/16/17 P235 | 13.30000019 |
21-Jul-17 (85); CSize 100; IDIV .75 USD; R 1.15; IFwd 225.93 | |||||||
GS 7/21/17 C215 | 14.38000011 | 215 | 1.15 | 0.232876712 | 225.81 | GS 7/21/17 P215 | 5 |
GS 7/21/17 C220 | 11.60000038 | 220 | 1.15 | 0.232876712 | 225.81 | GS 7/21/17 P220 | 7.050000191 |
GS 7/21/17 C225 | 9.149999619 | 225 | 1.15 | 0.232876712 | 225.81 | GS 7/21/17 P225 | 8.409999847 |
GS 7/21/17 C230 | 6.900000095 | 230 | 1.15 | 0.232876712 | 225.81 | GS 7/21/17 P230 | 10.98999977 |
GS 7/21/17 C235 | 4.75 | 235 | 1.15 | 0.232876712 | 225.81 | GS 7/21/17 P235 | 14.10000038 |
15-Sep-17 (141day); CSize 100; IDIV 1.30 USD; R 1.31; IFwd 225.84 | |||||||
GS 9/15/17 C215 | 18.12000084 | 215 | 1.31 | 0.38630137 | 225.81 | GS 9/15/17 P215 | 7.150000095 |
GS 9/15/17 C220 | 15 | 220 | 1.31 | 0.38630137 | 225.81 | GS 9/15/17 P220 | 9.710000038 |
GS 9/15/17 C225 | 11.60000038 | 225 | 1.31 | 0.38630137 | 225.81 | GS 9/15/17 P225 | 10.64999962 |
GS 9/15/17 C230 | 8.800000191 | 230 | 1.31 | 0.38630137 | 225.81 | GS 9/15/17 P230 | 14.85999966 |
GS 9/15/17 C235 | 7.150000095 | 235 | 1.31 | 0.38630137 | 225.81 | GS 9/15/17 P235 | 16.75 |
20-Oct-17 (176day); CSize 100; IDIV 1.30 USD; R 1.41; IFwd 226.14 | |||||||
GS 10/20/17 C215 | 18.39999962 | 215 | 1.41 | 0.482191781 | 225.81 | GS 10/20/17 P215 | 8.300000191 |
GS 10/20/17 C220 | 15.80000019 | 220 | 1.41 | 0.482191781 | 225.81 | GS 10/20/17 P220 | 10.02000046 |
GS 10/20/17 C225 | 13.44999981 | 225 | 1.41 | 0.482191781 | 225.81 | GS 10/20/17 P225 | 11.86999989 |
GS 10/20/17 C230 | 11.39999962 | 230 | 1.41 | 0.482191781 | 225.81 | GS 10/20/17 P230 | 15.35999966 |
GS 10/20/17 C235 | 9.050000191 | 235 | 1.41 | 0.482191781 | 225.81 | GS 10/20/17 P235 | 19.29999924 |
19-Jan-18 (267day); CSize 100; IDIV 1.91 USD; R 1.59; IFwd 226.35 | |||||||
GS 1/19/18 C215 | 0 | 215 | 1.59 | 0.731506849 | 225.81 | GS 1/19/18 P215 | 0 |
GS 1/19/18 C220 | 19.04999924 | 220 | 1.59 | 0.731506849 | 225.81 | GS 1/19/18 P220 | 14.10000038 |
GS 1/19/18 C225 | 16.45000076 | 225 | 1.59 | 0.731506849 | 225.81 | GS 1/19/18 P225 | 16.75 |
GS 1/19/18 C230 | 14.75 | 230 | 1.59 | 0.731506849 | 225.81 | GS 1/19/18 P230 | 19.30999947 |
GS 1/19/18 C235 | 13.05000019 | 235 | 1.59 | 0.731506849 | 225.81 | GS 1/19/18 P235 | 20.5 |
15-Jun-18 (414day); CSize 100; IDIV 3.09 USD; R 1.75; IFwd 226.58 | |||||||
GS 6/15/18 C215 | 0 | 215 | 1.75 | 1.134246575 | 225.81 | GS 6/15/18 P215 | 0 |
GS 6/15/18 C220 | 0 | 220 | 1.75 | 1.134246575 | 225.81 | GS 6/15/18 P220 | 0 |
GS 6/15/18 C225 | 0 | 225 | 1.75 | 1.134246575 | 225.81 | GS 6/15/18 P225 | 0 |
GS 6/15/18 C230 | 0 | 230 | 1.75 | 1.134246575 | 225.81 | GS 6/15/18 P230 | 0 |
GS 6/15/18 C235 | 0 | 235 | 1.75 | 1.134246575 | 225.81 | GS 6/15/18 P235 | 0 |
18-Jan-19 (631day); CSize 100; IDIV 4.20 USD; R 1.62; IFwd 227.78 | |||||||
GS 1/18/19 C210 | 38.5 | 210 | 1.62 | 1.728767123 | 225.81 | GS 1/18/19 P210 | 19.89999962 |
GS 1/18/19 C220 | 32.09999847 | 220 | 1.62 | 1.728767123 | 225.81 | GS 1/18/19 P220 | 24 |
GS 1/18/19 C230 | 26.37000084 | 230 | 1.62 | 1.728767123 | 225.81 | GS 1/18/19 P230 | 27.95000076 |
GS 1/18/19 C240 | 21.20000076 | 240 | 1.62 | 1.728767123 | 225.81 | GS 1/18/19 P240 | 40.70000076 |
GS 1/18/19 C250 | 19.25 | 250 | 1.62 | 1.728767123 | 225.81 | GS 1/18/19 P250 | 48.15000153 |
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started