Question
European puts in Black-Scholes model. Use put-call parity of Example 10.10 to answer the following questions in the Black-Scholes model: (a) Prove that a
European puts in Black-Scholes model. Use put-call parity of Example 10.10 to answer the following questions in the Black-Scholes model: (a) Prove that a European put (P, t T) with strike price K has the price P = SN(-d+) + Ke-r(T-)N(-d_), where d are evaluated at x = St.
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Fundamentals of Futures and Options Markets
Authors: John C. Hull
8th edition
978-1292155036, 1292155035, 132993341, 978-0132993340
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