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Put-call parity states that for European call (C) and put (P) options on the same Stock Index (S), with the same exercise price (K), and
Put-call parity states that for European call (C) and put (P) options on the same Stock Index (S), with the same exercise price (K), and time to maturity, T years then if there is a continuous dividend yield, d, then:
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V c Expe rt S 0 V p Where V c Value of call Expe rt Present Value of Exercise Price S ...
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Economics of Money, Banking and Financial Markets
Authors: Frederic S. Mishkin
9th Edition
978-0321607751, 9780321599797, 321607759, 0321599799, 978-0321598905
