IDEAS home Printed from
   My bibliography  Save this article

An empirical test of 'put call parity'


  • Ben David Nissim
  • Tavor Tchahi


In this article, we examined the validity of 'Put Call Parity' (PCP) in the Israeli stock market. Estimating the parameters for the PCP equation, we reject the validity of PCP with a 100% confidence level. The estimated PCP equation includes a significant intercept that points to the possibility of having arbitrage opportunities. Measuring the profit rate for portfolios that include options with various exercise prices, we find a potential profit of about 3%-3.4% in all cases.

Suggested Citation

  • Ben David Nissim & Tavor Tchahi, 2011. "An empirical test of 'put call parity'," Applied Financial Economics, Taylor & Francis Journals, vol. 21(22), pages 1661-1664.
  • Handle: RePEc:taf:apfiec:v:21:y:2011:i:22:p:1661-1664
    DOI: 10.1080/09603107.2011.589806

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item


    put call parity; arbitrage;


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:21:y:2011:i:22:p:1661-1664. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.