Momentum trading behaviour

Put call parity is a theoretical no-arbitrage condition linking a call option price to a put option price written on the same stock or index. This study finds that Put call parity violations arequite symmetric over the whole sample. However during the ban period 2008 in the U.S., puts aresignificantly and economically overpriced relative to calls.

15p thiendiadaodien_5 08-01-2019 26 4   Download