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In: Statistics and Probability

In the context of the Black-Scholes option pricing formula, show that Cput = Ccall + Ke-rt...

In the context of the Black-Scholes option pricing formula, show that Cput = Ccall + Ke-rt - S0

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Expert Solution

hence for no arbitrage , cal put parity must hold

hence Cput = Ccall + Ke-rt - S0

orchestra answered 3 years ago
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