C(S, t) and P(S, t) are the values of European call and put options, with exercise price
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C(S, t) and P(S, t) are the values of European call and put options, with exercise price E and expiry at time T. Show that a portfolio of long the call and short the put satisfies the Black-Scholes equation. What boundary and final conditions hold for this portfolio?
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Value of European Option at Expiration At expiration the val...View the full answer
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