| Popis: |
Put-call parity theory in the presence of dividends is extended to take account of transaction costs and new, testable models are derived. These models are used to test the efficiency of the London Traded Options Market using synchronous option and share prices. When account is taken only of option spread, significant numbers of deviations from put-call parity are identified. When commission costs on options and shares are considered however, almost none of these deviations prove to be exploitable. |
