Prove that left begin array l operatorname DeltaC (x, K r, delta) frac 1 x left C E (x, K r, delta) K operatorname BinC (x, K r, delta) ight tag 3 6 12 operatorname DeltaP (x, K r, delta) frac 1 x left P E (x, K r, delta) K operatorname BinP (x, K r, delta) ight end array ight where the quantities ...

To prove equations 3612 we need to use the putcall ...

Prove that [left{begin{array}{l}operatorname{DeltaC}(x, K ; r, delta)=frac{1}{x}left[C_{E}(x, K ; r, delta)+K operatorname{BinC}(x, K ; r, delta) ight]

Question:

Prove that

\[\left\{\begin{array}{l}\operatorname{DeltaC}(x, K ; r, \delta)=\frac{1}{x}\left[C_{E}(x, K ; r, \delta)+K \operatorname{BinC}(x, K ; r, \delta)\right] \tag{3.6.12}\\\operatorname{DeltaP}(x, K ; r, \delta)=\frac{1}{x}\left[P_{E}(x, K ; r, \delta)-K \operatorname{BinP}(x, K ; r, \delta)\right]\end{array}\right.\]

where the quantities are evaluated at time $T-t$.

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