Put-Call Parities and the Value of Early Exercise for Put Options on a Performance Index

Posted: 13 Sep 1999

See all articles by Frans de Roon

Frans de Roon

Tilburg University - Department of Finance

Chris Veld

Monash University

Date Written: November 1994

Abstract

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

de Roon, Frans A. and Veld, Chris, Put-Call Parities and the Value of Early Exercise for Put Options on a Performance Index (November 1994 ). Available at SSRN: https://ssrn.com/abstract=5769

Frans A. De Roon

Tilburg University - Department of Finance ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands
+31 1 3466 8361/3025 (Phone)
+31 1 3466 2875 (Fax)

Chris Veld (Contact Author)

Monash University ( email )

Building 11E
Clayton, Victoria 3800
Australia

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