Question: 2. (20 points) Let So be the stock price at time zero. Let Co be the value of the European call and Po be the

2. (20 points) Let So be the stock price at time zero. Let Co be the value of the European call and Po be the value of the European put at time zero. Let K be the strike price at time N (when the contract expires) (a) Show that (put-call parity) Co-Po= So-1+ r) where r is the risk-free rate (b) Show that forward price (for this stock) at time zero is (1 + r) So

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