Put-Call Parities and the Value of Early Exercise for Put Options on a Performance Index
Posted: 13 Sep 1999
Date Written: November 1994
In this paper we use the put-call parity to calculate the premium for early exercise of put options on the DAX index. Because this is a performance index, it is not necessary to separate this premium from the early exercise premium of a call option. We find the early exercise premium of a put option to be positively correlated with the moneyness and the standard deviation of the returns on the index.
JEL Classification: G13
Suggested Citation: Suggested Citation