Premium
Put‐call parities and the value of early exercise for put options on a performance index
Author(s) -
De Roon Frans,
Veld Chris
Publication year - 1996
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/(sici)1096-9934(199602)16:1<71::aid-fut4>3.0.co;2-e
Subject(s) - index (typography) , value (mathematics) , futures contract , citation , computer science , library science , world wide web , business , finance , machine learning
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.