Microsoft PowerPoint - PoF.ppt

Put-call parity 180

-C

t

+ P

t

+ S

t

= PV

(E) ort

C

t

= P

t

+ S

t

-PV

(E) ort

P

t

= C

t

-S

t

+ PV

(E)t

Note:P

T

-C

T

= PV

T

(E) - S

T

P

T

-C

T

= E - S

T

= F

t0,T

-S

T

= CF

T

of a FS and therefore by the LAW OF ONE PRICE:

P

t

-C

t

= PV

t

of a FS,

which is given by

(

)

rT

Tt

T

t

t

e

F

F

PV

−

−

=

,

, 0

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