关于put call parity验证中的一些问题

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刚刚学过期权的一些理论，希望能用实际的数据验证一下put call parity。这里遇到几个问题，1、在雅虎财经查找数据的时候，发现期权价格有三个，分别是bid、ask和last，请问应该使用哪一个价格

2、这里涉及到利率的问题，是应该用LIBOR还是国债利率
3、到期日只有一周的期权，时间应该怎样计算呢，比如今天是10月25日周六，10月31日周五到期的期权，该怎么计算时间呢，是30/360吗，还是要去掉周末这些的

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关键词：Parity call pari put LIBOR 雅虎财经 LIBOR

1. Usually use mid price =(bid+ask)/2. Because option has really large big ask spread. The last price is just the price of the last executed trade. Some not so liquid option may have last trade several hours ago or even yesterday. So last price is not so good.

2. if option's maturity is less then 3M, then use 3M spot libor. For longer maturiy, bloomberg has S23 curve which is stripped from standard USD libor swap. But you may not have access to this kind of data. So feel free to use 3M spot libor. If you can not get libor, use fed fund rate or 10 yr US treasury yield (which you can get on yahoo finance)

3. usually actual/360, actual/365, 30/360, business day/252 all works. This usually matters much for interest rate derivative. For equity option, just choose whatever you like. The impact is really small. I personally prefer business day/252 for option.

btw, you also need to consider the dividend if you think the stock is going to pay the dividend in the future. And try to use some ATM option to verify because they have a relatively much better liquidity.

Enjoy your play :-)

Chemist_MZ 发表于 2014-10-26 01:27
1. Usually use mid price =(bid+ask)/2. Because option has really large big ask spread. The last pric ...

非常感谢啊，回去找数据看看

Chemist_MZ 发表于 2014-10-26 01:27
1. Usually use mid price =(bid+ask)/2. Because option has really large big ask spread. The last pric ...

谢谢，受教了。