Summary: 1/51
Chapter 7. Derivatives markets.
Manual for SOA Exam FM/CAS Exam 2.
Chapter 7. Derivatives markets.
Section 7.6. Put­call parity.
c 2009. Miguel A. Arcones. All rights reserved.
Extract from:
"Arcones' Manual for the SOA Exam FM/CAS Exam 2,
Financial Mathematics. Fall 2009 Edition",
available at http://www.actexmadriver.com/
c 2009. Miguel A. Arcones. All rights reserved. Manual for SOA Exam FM/CAS Exam 2.
2/51
Chapter 7. Derivatives markets. Section 7.6. Put­call parity.
Put­call parity
Recall that the actions and payoffs corresponding to a call/put are:
If ST < K If K < ST
long call no action buy the stock
short call no action sell the stock
long put sell the stock no action
short put buy the stock no action

Source: Arcones, Miguel A. - Department of Mathematical Sciences, State University of New York at Binghamton

Collections: Mathematics