EXERCISE 6.2 Show of the put-call parity for options on coupon bonds by a replication argument, i.e.

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form two portfolios that have the same payoffs and conclude from their prices that (6.21) must hold.

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Fixed Income Analysis Securities Pricing And Risk Management

ISBN: 218144

1st Edition

Authors: Claus Munk

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Question Posted: Oct 30, 2024 02:00 AM

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EXERCISE 6.2 Show of the put-call parity for options on coupon bonds by a replication argument, i.e.

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Fixed Income Analysis Securities Pricing And Risk Management

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