A Put-Call parity in options arbitrage endemic to Europe is an equality defined as P + S = C + B where P is the put price, S is the share price, C is the call price, and B is the bond value. Put and Call options individually derive relative from the following model which reorganizes the parity, so that the put and call options are distinctly isolated and solely valued according to this relation.
C + PV (S) = P + MP, where C is the Call option value, PV represents the present value of the stock, or its current share price discounted by the risk free rate, P is the put option price, and MP is the market price.
Note: Discount by negative rate if interest rates ≤ 0 and effective tax rate > 0
No comments:
Post a Comment