Deviations from Put-Call Parity and Stock Return – Evidence from High-Frequency Data
碩士 === 國立臺灣大學 === 財務金融學研究所 === 99 === This article is aim to analysis the return predictability of S&P 500 index of the deviation from put-call-parity observed from the intra-day transaction data in S&P 500 index option market. According to the empirical results, we found out that both the u...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/70203579804971369110 |