Let C gap (K 1 , K 2 ) and P gap (K 1 , K 2

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Let Cgap(K1, K2) and Pgap(K1, K2) be the current prices of a T-year European gap call option and a T-year European gap put option, respectively, both with a strike price of K1 and a payment trigger of K2. Prove that

Cgap (K, K) - pgap (K, K) = FT(S) - K*e-T.

Identify K.  

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