Consider a stock that pays no dividends on which a futures contract, a call option, and a put option trade. The maturity date for all three contracts is T, the strike price of both the put and the call is K, and the futures price is F. Prove that if K = F, then the price of the call option equals the price of the put option
Consider a stock that pays no dividends on which a futures contract, a call option, and a put option trade. The maturity date for all three contracts is T, the strike price of both the put and the call is K, and the futures price is F. Prove that if K = F, then the price of the call option equals the price of the put option
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Consider a stock that pays no dividends on which a futures
contract, a call option, and a put option trade. The maturity date for all three contracts is T, the strike
price of both the put and the call is K, and the futures price is F. Prove that if K = F, then the price of
the call option equals the price of the put option.
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