This question seems almost to easy.... But I just don't know how to approach it.

Show that in the European case. The value $\displaystyle V_0,$ of a straddle $\displaystyle |S_n - k|,$ has

$\displaystyle V_0 = C_0 + P_0$

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- Apr 27th 2010, 02:54 PMAnonymous1Option pricing
This question seems almost to easy.... But I just don't know how to approach it.

Show that in the European case. The value $\displaystyle V_0,$ of a straddle $\displaystyle |S_n - k|,$ has

$\displaystyle V_0 = C_0 + P_0$