Option Put-Call Parity Relations When the Underlying Security Pays Dividends
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Robert C. Merton, 2005.
"Theory of rational option pricing,"
World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288,
World Scientific Publishing Co. Pte. Ltd..
- Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
- Cox, John C & Ross, Stephen A, 1976. "A Survey of Some New Results in Financial Option Pricing Theory," Journal of Finance, American Finance Association, vol. 31(2), pages 383-402, May.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Smith, Clifford Jr., 1976. "Option pricing : A review," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 3-51.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Ziwei Ke & Joanna Goard, 2019. "Penalty American Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-32, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Dan W. French & Glenn V. Henderson Jr., 1981. "Substitute Hedged Option Portfolios: Theory And Evidence," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(1), pages 21-31, March.
- Robert L. Brown & Dominique Achour, 1984. "The Pricing of Land Options," Urban Studies, Urban Studies Journal Limited, vol. 21(3), pages 317-323, August.
- Hyong-Chol O & Ji-Sok Kim, 2013. "General Properties of Solutions to Inhomogeneous Black-Scholes Equations with Discontinuous Maturity Payoffs and Application," Papers 1309.6505, arXiv.org, revised Sep 2013.
- Hyong-Chol O & Tae-Song Choe, 2022. "General properties of the Solutions to Moving Boundary Problems for Black-Sholes Equations," Papers 2203.05726, arXiv.org.
- Georgievski, Alex & Masih, A. Mansur M., 2004. "An analysis of option pricing under systematic consumption risk using GARCH," Research in International Business and Finance, Elsevier, vol. 18(2), pages 151-171, June.
- Sonntag, Dominik, 2018. "Die Theorie der fairen geometrischen Rendite [The Theory of Fair Geometric Returns]," MPRA Paper 87082, University Library of Munich, Germany.
- Mondher Bellalah, 2009. "Derivatives, Risk Management & Value," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7175, September.
- Ronald G. Storey & Cecil R. Dipchand, 1978. "Factors Related To The Conversion Record Of Convertible Securities: The Canadian Experience 1946–1975," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 1(1), pages 71-83, December.
- Hauser, Robert J. & Anderson, Dane K., 1984. "Modifying Traditional Option Pricing Formulae For Options On Soybean Futures," 1984 Annual Meeting, August 5-8, Ithaca, New York 279099, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015. "Derivative Security Pricing," Dynamic Modeling and Econometrics in Economics and Finance, Springer, edition 127, number 978-3-662-45906-5, March.
- Merton, Robert C., 1993.
"On the microeconomic theory of investment under uncertainty,"
Handbook of Mathematical Economics, in: K. J. Arrow & M.D. Intriligator (ed.), Handbook of Mathematical Economics, edition 4, volume 2, chapter 13, pages 601-669,
Elsevier.
- Merton, Robert C., 1977. "On the microeconomic theory of investment under uncertainty," Working papers 958-77., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Antonio Mele, 2003.
"Fundamental Properties of Bond Prices in Models of the Short-Term Rate,"
Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 679-716, July.
- A. Mele, 2000. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," THEMA Working Papers 2000-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Antonio Mele, 2002. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Working Papers 460, Queen Mary University of London, School of Economics and Finance.
- Antonio Mele, 2002. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Working Papers 460, Queen Mary University of London, School of Economics and Finance.
- Lu, Jin-Ray & Yang, Ya-Huei, 2021. "Option valuations and asset demands and supplies," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 49-64.
- Lingling Xu & Hongjie Zhang & Fu Lee Wang, 2023. "Pricing of Arithmetic Average Asian Option by Combining Variance Reduction and Quasi-Monte Carlo Method," Mathematics, MDPI, vol. 11(3), pages 1-14, January.
- Laurence R. Jacobson, 1983. "Speculation and hedging using options on future contracts," International Finance Discussion Papers 220, Board of Governors of the Federal Reserve System (U.S.).
- John D. Stowe & Michael C. Walker, 1980. "The Effect of Executive Stock Options on Corporate Financial Decisions," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(1), pages 69-83, March.
- Seo, Kyowon & Go, Sarang & Kim, Byungdo, 2020. "Pricing strategies under markets with time gap between purchase and consumption," Journal of Business Research, Elsevier, vol. 120(C), pages 312-320.
- Zhao, Yingxue & Yang, Liu & Cheng, T.C.E. & Ma, Lijun & Shao, Xinjian, 2013. "A value-based approach to option pricing: The case of supply chain options," International Journal of Production Economics, Elsevier, vol. 143(1), pages 171-177.
- Zafar Ahmad & Reilly Browne & Rezaul Chowdhury & Rathish Das & Yushen Huang & Yimin Zhu, 2023. "Fast American Option Pricing using Nonlinear Stencils," Papers 2303.02317, arXiv.org, revised Oct 2023.
- Josheski Dushko & Apostolov Mico, 2020. "A Review of the Binomial and Trinomial Models for Option Pricing and their Convergence to the Black-Scholes Model Determined Option Prices," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 24(2), pages 53-85, June.
More about this item
Keywords
options; dividends; put-call parity;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ijb:journl:v:5:y:2006:i:3:p:225-230. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Szu-Hsien Ho (email available below). General contact details of provider: https://edirc.repec.org/data/cbfcutw.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.