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Problem 1 Use the formula pC) = KT t)e - (T-1)N(d) and the put-call parity to obtain the formula p(P) = -K(T-the-r(T-1)N(-dy). (Hint: Remember that
Problem 1 Use the formula pC) = KT t)e - (T-1)N(d) and the put-call parity to obtain the formula p(P) = -K(T-the-r(T-1)N(-dy). (Hint: Remember that p represents sensitivity with respect to the risk-neutral interest rate r.)
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