Page 158 - AFM Integrated Workbook STUDENT S18-J19
P. 158
Chapter 8
2.3 The BSOP formula – put option value
After you have calculated the value of a call option, the put-call parity
formula can be used to value the corresponding put option.
–rt
Put option value = c – P + P e
a
e
Where c = call option value
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