Question
Consider European call and put options written on an asset S that pays a dividend yield g 0. Both options have the same strike
Consider European call and put options written on an asset S that pays a dividend yield g 0. Both options have the same strike K and expire at T. The interest rate is r0 with continuous compounding. For which strike price are the call and put prices the same?
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Introduction To Stochastic Finance With Market Examples
Authors: Nicolas Privault
2nd Edition
1032288272, 9781032288277
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