Suppose continuous arithmetic averaging of the asset price is taken from t = 0 to T, T
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Suppose continuous arithmetic averaging of the asset price is taken from t = 0 to T, T is the expiration time. The terminal payoff function of the floating strike call and put options are, respectively,
Show that the put-call parity relation for the above pair of European floating strike options is given by
Suppose continuous geometric averaging of the asset price is taken, show that the corresponding put-call parity relation is given by
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