In-class_Exercise_9

In-class_Exercise_9 - I n-class Exe rcise9 • • • •...

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Unformatted text preview: I n-class Exe rcise9 • • • • • What is put-call parity? How is theput-call parity de d? rive I s theput-call parity truefor Am rican options? e What is theuppe bound of a Europe call? r an What is thelowe bound of a Europe call? r an r an • What is theuppe bound of a Europe put? r an • What is thelowe bound of a Europe put? rlying pays no divide what is there nd, lation • I f unde be e an Am rican call/put and a Europe call/put twe n e an price ? rlying pays divide what is there nd, lation be e twe n • I f unde an Am rican call/put and a Europe call/put price e an ? scribetheprope s of a Europe call priceas rtie an • De a f unction of strike c(K). , scribetheprope s of a Europe put priceas rtie an • De a f unction of strike p(K). , ...
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This note was uploaded on 01/26/2010 for the course FINA 2103 taught by Professor Wong during the Winter '08 term at HKU.

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In-class_Exercise_9 - I n-class Exe rcise9 • • • •...

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