Microsoft PowerPoint - PoF.ppt

European putƒ 195

max(0, Ee

-rT

-S

) t

≤

p

≤

Ee

-rT

...NAC

ƒ

Suppose

0 < p < Ee

-rT

-S

t

Ä

arbitrage strategy

Derivative securities: Options - No-arbitrage conditions