Empirical study of index-option carry gaps finds that a fitted physical-drift term in a GBM improves the description of put-call parity wedges, interpreted as evidence that physical measures affect the capital-using arbitrage process.
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2 Pith papers cite this work. Polarity classification is still indexing.
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The P behind Q: Empirical Evidence from Physical Drift in Put-Call Parity
Empirical study of index-option carry gaps finds that a fitted physical-drift term in a GBM improves the description of put-call parity wedges, interpreted as evidence that physical measures affect the capital-using arbitrage process.
- Tuning in to Frequencies: How Global Assets Align with U.S. Put-Call Parity Residuals