文章基本信息

标题：An Empirical Test of Efficiency of Exchange-Traded Currency Options in India
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作者：Aparna Bhat ; Kirti Arekar
期刊名称：Business and Economics Research Journal
电子版ISSN：1309-2448
出版年度：2015
卷号：4
期号：6061
页码：1-17
语种：
出版社：Adem Anbar
摘要：The objective of this paper is to examine efficiency of the exchange-traded currency options market in India. Put-call-futures parity for the USD-INR currency options is studied by analyzing daily closing prices of options and futures for thirty two months on the National Stock Exchange. The study reveals frequent violations of the put-call-futures parity creating significant arbitrage opportunities. The pattern of mispricing varies when examined for time to maturity, option moneyness, liquidity and volatility of the underlying asset. These observations are consistent with those of studies of other young markets.