Semi-efficient valuations and put-call parity

A Note on the Call-Put Parity and a Call-Put Duality

Along with the well-known “call-put parity” relation, that makes it possible to express the rational price of a put option in terms of the rational price of a call option, we introduce a “call-put duality” relation. This new concept offers a simple explanation of the relationship between the rational price of a put option and a call option, not only for options of the European type, but also fo...

American Put Call Symmetry

We derive a simple relationship between the values and exercise boundaries of American puts and calls. The relationship holds for options with the same \moneyness", although the absolute level of the strike price and underlying may di er. The result holds in both the Black Scholes model and in a more general di usion setting. We thank Neil Chriss, the editor, and two anonymous referees for thei...

Econometric Modeling for Transaction Cost-Adjusted Put-Call Parity: Evidence from the Currency Options Market

Due to the mispricing of options, no-arbitrage condition put-call parity (PCP) violations lead to inefficiency in the currency options market. Through transaction costs, the effects of these violations are reduced to negligible levels, indicating that PCP is not a sufficient condition for an options market efficiency test. Thus, this study developed a transaction cost-adjusted put-call parity (...

Put-call Symmetry: Extensions and Applications

Classic put-call symmetry relates the prices of puts and calls at strikes on opposite sides of the forward price. We extend put-call symmetry in several directions. Relaxing the assumptions, we generalize to unified local/stochastic volatility models and time-changed Lévy processes, under a symmetry condition. Further relaxing the assumptions, we generalize to various asymmetric dynamics. Exten...

Multivariate Extension of Put-Call Symmetry