Welcome to Scribd, the world's digital library. Read, publish, and share books and documents. See more
Standard view
Full view
of .
0 of .
Results for:
P. 1

Ratings: (0)|Views: 363 |Likes:

Categories:Types, School Work

### Availability:

See more
See less

04/09/2013

pdf

text

original

LECTURE 6-7

Pu
t-Call
P
arity
y
Consider a portfolio: Holding one p
u
t, one
u
nit of the
u
nderlying asset, and selling one call.
y
P
ortfolio val
u
e:
y
At expiration date,---if , we have,---if , we have,
y
Given for certain, we m
u
st also have,
)0,max()0,max(
pc
K  K  P  P
!!
K
"
K
!!
)(
K
!
K
!!
)(
K

!
Ke
!

Pu
t-Call
P
arity
y
The relationship between the val
u
e of a call and a p
u
tm
u
st be,
y
At time zero,
y
Example:
P
c=£5, K=£45, S0=£40, T=9/12, r=5%Q: what is
P
p?
Ke P
p
P
c
!
c p
Ke P  P
!
0

## Activity (17)

Aneesha Kasim liked this
kamini_nasa602 liked this
asif9193505 liked this
goldi0172 liked this
toneworld liked this
toneworld liked this
scribd
/*********** DO NOT ALTER ANYTHING BELOW THIS LINE ! ************/ var s_code=s.t();if(s_code)document.write(s_code)//-->