Consider a European call and a European put

> HOM X HM x W x H 3 HWOX 3 HW X 3 HW X HW X Pus Cet! x CSX Smart X CEX CX CX ME f(x Mesx + x + rile D/M1 Final 2 2021.pdf E FM1 Final2_20_21.pdf 1/2 - 200% + + Tu pomis) which time steps and stock prices should me American call option be exercised? 1 2. (15 points) Consider a European call and a European put with the same under- lying stock share S paying no dividend, the same strike price K and expiration date T. The risk-free interest rate is r compounded continuously. Using the no-arbitrage principle, prove that C(Sc,t) > S, - Ke- (T-1) where C(Sc,t), P(S6,6), S, be the call price, put price and stock price at time t accordingly. Continued on next page fme.png mathie Show all 1:46 PM E- 94"F Mosty doudy A1 ENG 6/17/2021 > HOM X HM x W x H 3 HWOX 3 HW X 3 HW X HW X Pus Cet! x CSX Smart X CEX CX CX ME f(x Mesx + x + rile D/M1 Final 2 2021.pdf E FM1 Final2_20_21.pdf 1/2 - 200% + + Tu pomis) which time steps and stock prices should me American call option be exercised? 1 2. (15 points) Consider a European call and a European put with the same under- lying stock share S paying no dividend, the same strike price K and expiration date T. The risk-free interest rate is r compounded continuously. Using the no-arbitrage principle, prove that C(Sc,t) > S, - Ke- (T-1) where C(Sc,t), P(S6,6), S, be the call price, put price and stock price at time t accordingly. Continued on next page fme.png mathie Show all 1:46 PM E- 94"F Mosty doudy A1 ENG 6/17/2021