Confirm that Merton's jump diffusion model satisfies put-call parity when the jump size is lognormal.

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Options Futures and Other Derivatives

ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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Question Posted: Feb 12, 2018 12:27 PM

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Confirm that Merton's jump diffusion model satisfies put-call parity when the jump size is lognormal.

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With the notation in the text the value of a call option is where is the BlackScholesMerton price ...View the full answer

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