Interpretation of put-call parity violation and tax effect풋-콜 패리티 괴리 현상 해석과 세금 효과

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This paper proposes the relaxed boundaries for put-call parity under US tax treatment, and analyzes the violations of put-call parity before and after American Taxpayer Relief Act of 2012 (ATRA) in US stock options market. Put-call parity must hold to avoid market arbitrage, but violations of the relationship are commonly observed in option markets. While there are several factors that affect put-call parity, this paper concentrates on the tax effects. The paper constructs relaxed put-call parity boundaries considering US tax treatment for European and American options. After ATRA, we observe an incremental increase of put-call parity violations. However, under tax-considered put-call parity boundaries, we show that the increment of put-call parity violation is not statistically significant, thus the increase of put-call parity violation came from change of tax treatment. Furthermore, this paper shows that other simple relaxed parity boundaries considering transaction cost cannot interpret the increment of parity violations after ATRA.
Advisors
Kim, Woo Changresearcher김우창researcher
Description
한국과학기술원 :산업및시스템공학과,
Publisher
한국과학기술원
Issue Date
2020
Identifier
325007
Language
eng
Description

학위논문(석사) - 한국과학기술원 : 산업및시스템공학과, 2020.2,[iii, 21 p. :]

Keywords

Put-Call Parity▼aTaxation▼aAmerican Taxpayer Relief Act of 2012▼aEuropean Option▼aAmerican Option; 풋-콜 패리티▼a세금▼a2012 미국 납세자의 세금 감면법▼a유러피안 옵션▼a아메리칸 옵션

URI
http://hdl.handle.net/10203/283934
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=910110&flag=dissertation
Appears in Collection
IE-Theses_Master(석사논문)
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