Put-Call Parities and the Value of Early Exercise for Put Options on aPerformance Index

摘要

In this paper we use the put-call parity to calculate the premium for earlyexercise of put options on the DAX index. Because this is a performance index, it is not necessary to separate this premium from the early exercise premium of a call option. We find the early exercise premium of a put option to be positively correlated with the moneyness and the standard deviation of the returns on the index.