Chapter 21, Problem 38PS

Summary Introduction

To compute: The value of a put option when the exercise price is $\$100$ so that it can proves the put-call parity.

Introduction:

Put-call parity: It is an important concept which tries to remove the possibility of arbitrage traders who profits from trading without any risks. Put-call parity is a situation where a relationship is established between the prices of put option and call option of the same underlying asset with same strike price and expiration period.