  This study introduces a new technique to recover the implicit discount factor
in the derivative market using only European put and call prices: this discount
is grounded in actual transactions in active markets. Moreover, this study
identifies the implied cost of funding, over OIS, of major market players. Does
a liquid equity market allow arbitrage? The key idea is that the (unique)
forward contract -- built using the put-call parity relation -- contains
information about the market discount factor: by no-arbitrage conditions we
identify the implicit interest rate such that the forward contract value does
not depend on the strike. The procedure is applied to options on S&P 500 and
EURO STOXX 50 indices. There is statistical evidence that, in the EURO STOXX 50
market, the implicit interest rate curve coincides with the EUR OIS one, while,
in the S&P 500 market, a cost of funding of, on average, 34 basis points is
added on top of the USD OIS curve.
