(PCP) At the expiration date the put–call parity Put X 0 0 ( ) = + Call ( ) X PV X( )

S0 has the following form: Put X Call X X S T T T ( ) = + ( ) − or ST = CallT

(X) –

PutT (X) + X. Verify this equation using Excel: Let ST range from $20 to $100 and the exercise price X = $60. As you should know at this point, the option value at expiry are: Put(X) = Max(ST

– X, 0), Call(X) = Max(X – ST

, 0).