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Use the put-call parity to derive the relationship between the theta of a European call option...

Use the put-call parity to derive the relationship between the theta of a European call option and the theta of a European put option. Show that the relationship holds if you substitute the formulas for theta of call and theta of put in the Black-Scholes model.

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We are now able to derive the Black-Scholes PDE for a call-option on a ... Substituting (6) and (7) into (3) we obtain. rSt ... put-option can also now be easily computed from put-call parity and (9). ... BS(·) is the Black-Scholes formula for pricing a call option. ... volatility for a European put option of the same strike and maturity.

Answer:- Answer to Use the put-call parity to derive the relationship between the theta of a European call option and the theta of a Europe. ... You Substitute The Formulas For Theta Of Call And Theta Of Put In The Black-Scholes Model. ... Show that the relationship holds if you substitute the formulas for theta of call and theta of put in .tha model

jeff jeffy answered 2 years ago
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