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Math Help - question on put call parity

  1. #1
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    question on put call parity

    Hi

    My question is


    Derive the put-call parity relationship between the value C of a European call option and the value P of a European put option, with the same strike price E and expiry date T, when the risk free interest rate is


    r(t)=0.1e^{-0.2t}

    any help is appreciated

    thanks
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  2. #2
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  3. #3
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    can you derive it for a constant r(t)?

    if so, you just need to adjust your accumulated cashflows to reflect the variable r(t).
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  4. #4
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    yep I was confused about the interest rate r(t)

    Does the r(t) go with the bond function which involves a interest rate?
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  5. #5
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    Your question is confusingly worded. i cant tell if you have the right idea or not.

    You need use r(t) to calculate the amount of money you would get on the strike date if you put E in a bond now. Unless your teacher thinks you are some kind of genius, you will have been taught how to do this before being set the question
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