Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 6 of 6 for “"Put-call parity"”.
-
Intra-daily put call parity in the PHLX currency options market
This study examines the Put-Call Parity efficiency of the PHLX currency options market for the Deutsche Mark for the period between 30 September 1992 to 1 October 1993. Using a large database of currency option data, a sample of 7968 American and European put and call options are tested for the …
-
Market Implied Risk-Free Rates: An Analysis of the Put-Call Parity Implied Rate
… study investigates the interest rate implied by put-call parity as an alternative, market-based proxy for the risk-free rate. Studying the implied risk-free rate from option prices is important because it provides insights into how market participants collectively perceive short-term financing …
-
Stock Option Valuations and Constraint Enforcement Using Neural Networks
… as option price bounds (upper and lower) and the Put-Call parity, that a stock option's value should satisfy have not been considered in many prior studies. This dissertation sets out to study stock option valuations using Neural Networks with techniques to enforce constraints. First, a functional …
-
Three essays in empirical derivatives
… the option-implied stock price obtained from the put-call parity relation is inconsistent with the actual stock price. Option market quotes adjust to eliminate the disagreement, while the stock market quotes behave normally, as if there were no disagreement. The disagreement events are typically …
-
Index participation units and the performance of index futures markets and index options markets
… of the no-arbitrage conditions as per the Put-Call Parity. Results from the index options market indicate that arbitrage opportunities do exist but no clear cut conclusion could be made regarding the effect of SPDRs on the index options market. When taking transaction costs into …
-
Discrete symmetry analysis of partial differential equations for bond pricing
We show how to compute the discrete symmetries for a given Black-Scholes (B-S) partial differential equation (PDE) with the aid of the full automorphism group of the Lie algebra associated to the standard B-S PDE. The paper determines the discrete symmetries using two methods. The first is by G. …