Put‐Call Parity and Arbitrage Bounds for Options on Grain Futures
通过两种检验方法，考察谷物期货期权市场中看跌与看涨期权之间的套利机会，发现市场并非完全有效，但套利违规程度因合约和时间而异。
Abstract Many arbitrage opportunities have become available for market participants since the inception of trading in options. Central to many of these is the put‐call parity relationship. If this condition is violated, arbitrage profits could be earned. This paper examines arbitrage possibilities between put and call options on grain futures using two different tests. One is a test of market efficiency over the duration of trading, and the other evaluates arbitrage bounds on individual trading days. In general, the results suggest that the options markets on grain futures are not completely efficient. However, violations varied substantially across contracts and through time.