Easy · Derivatives Pricing & Greeks · Numerical · ~3 min · #28
Put–Call Parity
A non-dividend-paying stock trades at $100. A European call with strike $100 and one year to expiry costs $10. The present value of the strike ($100 paid in one year) is $95.
What must the European put with the same strike and expiry cost, absent arbitrage?
Hints · 0 of 1 shown
Worked solution
Give the problem an honest attempt first, then reveal the full explanation.
Related questions
Concepts
Put–call parityStatic replication
Relevant for
Quant TraderQuant ResearcherDesk Quant