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(c) A stock with spot price S is expected to pay a dividend of D in tyears. European call and put options on the
(c) A stock with spot price S is expected to pay a dividend of D in tyears. European call and put options on the stock with exercise price X and maturity T > t are trading at prices c and p, respectively. The continuously compounded risk-free rate is r. i. Show that the following put-call parity relationship holds: c+ Xe-T + Det =p+S (6 marks)
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The putcall parity relationship holds for European options with the same underlying assetstrike priceand expiration dateIt states that the price of a ...
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Fundamentals of Futures and Options Markets
Authors: John C. Hull
8th edition
978-1292155036, 1292155035, 132993341, 978-0132993340
