assume the limiting case At 0. Suppose we have a European put option with payoff...
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assume the limiting case At → 0. Suppose we have a European put option with payoff max(K- Sr, 0). The put option price is denoted as P(K.T;o). Find an explicit equality relating the C(K,T:o) and P(K,T;o), i.e.. put-call parity. Based on the parity, find a closed-form pricing formula for the European put. assume the limiting case At → 0. Suppose we have a European put option with payoff max(K- Sr, 0). The put option price is denoted as P(K.T;o). Find an explicit equality relating the C(K,T:o) and P(K,T;o), i.e.. put-call parity. Based on the parity, find a closed-form pricing formula for the European put.
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In the limiting case as Al 0 the putcall parity relationship is given by PKT0 CKT0 St KerT Where ... View the full answer
Related Book For
Microeconomics An Intuitive Approach with Calculus
ISBN: 978-0538453257
1st edition
Authors: Thomas Nechyba
Posted Date:
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