EU Call-Put Parity Flashcards
1
Q
EU Call-Put Parity
A
Peu + So = Ceu + X e -rt
2
Q
US Put-Call Parity
A
So - X _< Cus - Pus _< So - X e -rt
3
Q
Upper bound of US Put-Call Parity
A
Pus >_ Ceu + X e-rt - So
Rearrange +/- and ><
Move Cus left
Cus - Pus _< So - X e-rt
4
Q
EU Put-Call Parity
Portfolio 1
A
ST > X : 0 + ST = ST
ST _< X : (X-ST) + ST = R
= Max (ST, X)
5
Q
EU Put-Call Parity
Portfolio 2
A
ST > X : (ST - X) + X = ST
ST_< X : 0 + X = X
= Max ( ST, 0)
