Put‐Call Parity and Arbitrage Bounds for Options on Grain Futures
作者:
William W. Wilson,
Hung‐Gay Fung,
期刊:
American Journal of Agricultural Economics
(WILEY Available online 1991)
卷期:
Volume 73,
issue 1
页码: 55-65
ISSN:0002-9092
年代: 1991
DOI:10.2307/1242883
出版商: Oxford University Press
数据来源: WILEY
摘要:
AbstractMany arbitrage opportunities have become available for market participants since the inception of trading in options. Central to many of these is the put‐call parity relationship. If this condition is violated, arbitrage profits could be earned. This paper examines arbitrage possibilities between put and call options on grain futures using two different tests. One is a test of market efficiency over the duration of trading, and the other evaluates arbitrage bounds on individual trading days. In general, the results suggest that the options markets on grain futures are not completely efficient. However, violations varied substantially across contracts and through time.
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