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Transactions costs and the relationship between put and call prices

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  • Gould, J. P.
  • Galai, D.
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    File URL: http://www.sciencedirect.com/science/article/B6VBX-458X29P-1/2/d0a82428bd8aa856de1a775bed749aa6
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 1 (1974)
    Issue (Month): 2 (July)
    Pages: 105-129

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    Handle: RePEc:eee:jfinec:v:1:y:1974:i:2:p:105-129

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    Web page: http://www.elsevier.com/locate/inca/505576

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    Cited by:
    1. Vesa Puttonen, 1992. "On the behaviour of the Finnish stock index options markets," Finnish Economic Papers, Finnish Economic Association, vol. 5(2), pages 117-128, Autumn.
    2. Muzzioli, S. & Torricelli, C., 2005. "The pricing of options on an interval binomial tree. An application to the DAX-index option market," European Journal of Operational Research, Elsevier, vol. 163(1), pages 192-200, May.
    3. Deville, Laurent & Riva, Fabrice, . "The Determinants of the Time to Efficiency in Options Markets: A Survival Analysis Approach," Open Access publications from Université Paris-Dauphine urn:hdl:123456789/2200, Université Paris-Dauphine.
    4. Ofek, Eli & Richardson, Matthew & Whitelaw, Robert F., 2004. "Limited arbitrage and short sales restrictions: evidence from the options markets," Journal of Financial Economics, Elsevier, vol. 74(2), pages 305-342, November.
    5. Laurent Deville & Fabrice Riva, 2007. "Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach," Review of Finance, European Finance Association, vol. 11(3), pages 497-525.
    6. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci, 2012. "Put-Call Parity and Market Frictions," Working Papers 447, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    7. Steven Li & Elia Alfay, 2005. "Evidence on the arbitrage efficiency of SPI index futures and options markets," School of Economics and Finance Discussion Papers and Working Papers Series 194, School of Economics and Finance, Queensland University of Technology.
    8. Brunetti, Marianna & Torricelli, Costanza, 2005. "Put-call parity and cross-markets efficiency in the index options markets: evidence from the Italian market," International Review of Financial Analysis, Elsevier, vol. 14(5), pages 508-532.
    9. Goyal, Amit & Saretto, Alessio, 2009. "Cross-section of option returns and volatility," Journal of Financial Economics, Elsevier, vol. 94(2), pages 310-326, November.
    10. Hoque, Ariful & Chan, Felix & Manzur, Meher, 2008. "Efficiency of the foreign currency options market," Global Finance Journal, Elsevier, vol. 19(2), pages 157-170.

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