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Put-Call Parity with Futures-Style Margining

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journal contribution
posted on 08.06.2017, 01:42 by Easton, Stephen A.
Lieu (1990) derived the put-call parity relationship for futures and futures option contracts where futures-style margining occurs on the option contracts. The Sydney Futures Exchange uses futuresstyle margining for options and hence provides a suitable market to test this relationship. Further, since January 1993 time-precise transactions data have been maintained by the exchange. This paper uses all contracts for which futures options are traded on the Sydney Futures Exchange. The study period is from January 1993 to December 1994. After allowing for the effects of non-simultaneity, it is found that in-the-money put and call options are underpriced by a small amount when compared with the parity relationship.

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Year of first publication

1996

Series

Department of Accounting and Finance.

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