Put-call parity is an important principle in options pricing first identified by Hans Stoll in his paper, The Relation Between Put and Call Prices, in 1969. It states that the premium of a call option implies a certain fair price for the corresponding put option having the same strike price and expiration date, and vice versa. Support for this pricing relationship is based upon the argument that arbitrage opportunities would materialize if there is a divergence between the value of calls and puts. Arbitrageurs would come in to make profitable, riskless trades until the put-call parity is restored. To begin understanding how the put-call parity is established, let's first take a look at two portfolios, A and B. Portfolio A consists of a european call option and cash equal to the number of shares covered by the call option multiplied by the call's striking price. Portfolio B consist of a european put option and the underlying asset. Note that equity options are used in this example. Put-Call Parity and American Options Since American style options allow early exercise, put-call parity will not hold for American options unless they are held to expiration. Early exercise will result in a departure in the present values of the two portfolios. Validating Option Pricing Models The put-call parity provides a simple test of option pricing models. Any pricing model that produces option prices which violate the put-call parity is considered flawed. Portfolio A = Call + Cash, where Cash = Call Strike Price Portfolio B = Put + Underlying Asset It can be observed from the diagrams above that the expiration values of the two portfolios are the same. Call + Cash = Put + Underlying Asset Eg. JUL 25 Call + $2500 = JUL 25 Put + 100 XYZ Stock If the two portfolios have the same expiration value, then they must have the same present value. Otherwise, an arbitrage trader can go long on the undervalued portfolio and short the overvalued portfolio to make a riskfree profit on expiration day. Hence, taking into account the need to calculate the present value of the cash component using a suitable risk-free interest rate, we have the following price equality:
你这个投资组合，实际效果可能不尽人意。 期权有时间价值，到交割期附近，时间价值接近0，2种可能： A：价格突破，出现趋势走势，对你的组合无帮助，因为CALL 和ＰＵＴ对冲了。 Ｂ：价格区间震荡， 期权价值缩水， ２个组合的总体价值都下降。 期权最精彩地方在于，以小博大。 趋势明朗了，顺势加码。 趋势面临反转，蝴蝶双飞的骑墙策略较好。 震荡走势，卖出期权胜算较大。 以上个人体会，请指正。
《股指期权与期货的套利策略 》 2012-7-16 作者:中信建投期货 陈健 http://www.qhrb.com.cn/Topic/Show.aspx?id=127393&tid=205&mid=387