Smith Barney, Harris Upham, and Company, Inc.
4 Pages Posted: 21 Oct 2008
This case deals with the introduction of put options in 1977. After a four-year experiment trading call options, the U.S. Securities and Exchange Commission (SEC) is about to begin the trading of put options. Ed Burton is faced with establishing trading strategies based on put-call parity. The case introduces put-call parity and allows the students to examine the practical aspects of how arbitrage works in the options markets.
Keywords: financial institutions, market efficiency, option pricing
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