Exercise 8.3.4 Prove putcall parity (8.2) for a single dividend of size D at some time t1

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Exercise 8.3.4 Prove put–call parity (8.2) for a single dividend of size D∗ at some time t1 before expiration: C = P+ S−PV(X)− D∗d(t1).

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Financial Engineering And Computation Principles Mathematics Algorithms

ISBN: 9780521781718

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Authors: Yuh-Dauh Lyuu

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Question Posted: Oct 26, 2024 12:00 PM

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Exercise 8.3.4 Prove putcall parity (8.2) for a single dividend of size D at some time t1 before expiration: C = P+ SPV(X) Dd(t1).
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Exercise 8.3.4 Prove putcall parity (8.2) for a single dividend of size D at some time t1

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Financial Engineering And Computation Principles Mathematics Algorithms

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