put-call-parity

  1. Nicole Seaman

    P2.T5.23.6. Implied volatility

    Learning objectives: Define a volatility smile and volatility skew. Explain the implications of put-call parity on the implied volatility of call and put options. Compare the shape of the volatility smile (or skew) to the shape of the implied distribution of the underlying asset price and to the...
  2. Nicole Seaman

    YouTube T3-34: Put-call parity

    We can synthesize stock ownership with a synthetic forward plus cash: S(0) = (c-p) + K*exp(-rT). That's put-call parity! My memorization mnemonic is "call plus cash equals protective put:" c + K*exp(-rt) = p + S(0) David's XLS is here...
  3. Nicole Seaman

    P1.T3.726. More properties of stock options, including put-call parity (Hull Ch 11 cont)

    Learning objectives: Explain put-call parity and apply it to the valuation of European and American stock options. Explain the early exercise features of American call and put options. Questions: 726.1. The price of a dividend-paying stock is $44.00 while the riskfree rate is 3.0%. Consider a...
  4. David Harper CFA FRM

    How to work put-call parity arbitrage problems

    Dipti today asked a follow-up to this 2010 GARP Practice exam sample question: I solve these by relying on the positive/negative sign (+/-). The only hard part, for me, is memorizing that a positive discounted cash term [+K*exp(-rT)] signifies a long bond (to lend cash). Put-call parity...
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