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Flashcards in Put-Call Parity Deck (14)
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1
Q

For a Non-Dividend Paying Stock

FPt,T(S) =

A

St

2
Q

For a Stock Paying Discrete Dividends

FPt,T(S) =

A

St - PV(Divs)

3
Q

For a Stock Paying Continuous Dividends

FPt,T(S) =

A

Ste-δ(T-t)

4
Q

For a Non-Dividend Paying Stock

Ft,T(S) =

A

Ster(T-t)

5
Q

For a Stock Paying Discrete Dividends

Ft,T(S) =

A

Ster(T-t) - AV(Divs)

6
Q

For a Stock Paying Continuous Dividends

Ft,T(S) =

A

Ste(r-δ)(T-t)

7
Q

What is the PCP for a Stock?

A

C - P = FPt,T(S) - Ke-r(T-t)

8
Q

Given C(A,B)

Receive: ___

Give Up: ___

A

Given C(A,B)

Receive: A

Give Up: B

9
Q

Given P(A,B)

Receive: ___

Give Up: ___

A

Given P(A,B)

Receive: B

Give Up: A

10
Q

PCP for Exchange Options?

A

C(A,B) - P(A,B) = FPt,T(A) - FPt,T​(B)

11
Q

Exchange Option Duality

C(A,B) = _____

A

C(A,B) = P(B,A)

12
Q

PCP for Currency Options

What three substitutions do you make?

A

S0 → x0

r → rd

δ → rf

Note: x0 is in the form d/f

13
Q

Currency Option Duality

dC(x0, K) =

_Note: _x0 in the form d/f

A

dC(x0, K) = x0 * K * fP[(x0)-1, (K)-1]

Note: x0 in the form d/f

14
Q

PCP for Bonds

A

C - P = Bt - PVt,T(Coupons) - Ke-r(T-t)