(Wt , t 0) is standard BM.

Consider binary put and call options written on the same asset, with the same strike price K, maturity T and the same fixed payment A. Suppose that the time is continuous and let r be the risk-free interest rate with continuous compounding. Let Cbin and Pbin be prices at time 0 of the binary call and the binary put respectively.

Show, that, regardless of the model for the underlying, the following result holds Cbin + Pbin = Ae^(rT) .