Deduce the corresponding put-call parity relation when the parameters in the European option models are time dependent,

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Deduce the corresponding put-call parity relation when the parameters in the European option models are time dependent, namely, volatility of the asset price is σ(t), dividend yield is q(t) and riskless interest rate is r(t).

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Mathematical Models Of Financial Derivative

ISBN: 9783642447938

2nd Edition

Authors: Yue-Kuen Kwok

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Question Posted: Dec 02, 2023 04:04 AM

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Deduce the corresponding put-call parity relation when the parameters in the European option models are time dependent,

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The putcall parity relationship in the presence of timedependent parameters can be deduced by consid...View the full answer

Mathematical Models Of Financial Derivative

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