Question
Derive the put-call parity result for options on options, C(s, t) PoC CoC = Eer(T-t), - where C(S,t) is a European vanilla call option
Derive the put-call parity result for options on options, C(s, t) PoC CoC = Eer(T-t), - where C(S,t) is a European vanilla call option with strike and expiry T, PoC is a "put option on a call option" with expiry T and strike E, and CoC is a "call option on a call option" with strike E and expiry T. Show all work.
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Statistics For Business And Economics
Authors: James T. McClave, P. George Benson, Terry T Sincich
12th Edition
9780321826237
