Put Call Parity: An Extension of Boundary Conditions

Stephen F. Gray
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Stephen F. Gray: Department of Commerce, University of Queensland.

Australian Journal of Management, 1989, vol. 14, issue 2, 151-169

Abstract: In this paper, the boundary conditions for put-call parity are extended to take into account the potential rational early exercise of an option and the possibility that dividends and capitalisation changes will differ from expectations. A series of statistical tests provide the basis for a conclusion in favour of put-call parity and the hypothesised risk-return relationships in the Australian exchange traded options market over the sample period.

Keywords: OPTIONS; PUT-CALL PARITY; BOUNDARY CONDITIONS; ARBITRAGE (search for similar items in EconPapers)
Date: 1989
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:14:y:1989:i:2:p:151-169

DOI: 10.1177/031289628901400203

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