financial mathematics, the put–call parity defines a relationship between the price of a European call option and European put option, both with the identical...

Look up parity in Wiktionary, the free dictionary. Parity may refer to: Parity (computing) Parity bit in computing, sets the parity of data for the purpose...

mathematics. Call option Naked put Covered option Option time value Pre-emption right Put–call parity Right of first refusal CBOE S&P 500 PutWrite Index (PUT) Greenspan...

European-style options. Covered call Moneyness Naked call Naked put Option time value Pre-emption right Put option Put–call parity Right of first refusal O'Sullivan...

Because of put–call parity, a bull spread can be constructed using either put options or call options. If constructed using calls, it is a bull call spread...

F e − r T {\displaystyle S=Fe^{-rT}} Put call parity: A long European call c together with a short European put p at the same strike price K is equivalent...

Because of put–call parity, a bear spread can be constructed using either put options or call options. If constructed using calls, it is a bear call spread...

value for calls and puts and so too is the vega the same value for calls and puts options. This can be seen directly from put–call parity, since the...

Overall, the payoffs match the payoffs from selling a put. This relationship is known as put–call parity and offers insights for financial theory. A benchmark...

crude oil at price X by buying an X strike call and selling an X strike put. This is known as put call parity. Delta one products often incorporate a number...

(-d_{2})-S_{0}e^{(b-r)T}\Phi (-d_{1})} This implies that there exists a version of put-call parity for European Asian options with geometric averaging: C G − P G = S...

a put option. The difference between the delta of a call and the delta of a put at the same strike is equal to one. By put–call parity, long a call and...

option Swaption Warrant Covered call Moneyness Naked put Option (finance) Option time value Put option Put–call parity Smooth pasting "global-derivatives...

and a > 0. Using put–call parity a long butterfly can also be created as follows: Long 1 put with a strike price of (X + a) Short 2 puts with a strike price...

in embryonic development Put–call parity, in financial mathematics, a relationship between the price of a call option and a put option Probabilistically...

bounds. The most frequent nontrivial example of no-arbitrage bounds is put–call parity for option prices. In incomplete markets, the bounds are given by the...

{\displaystyle F_{0}} is the forward price today. Contango Backwardation Put–call parity Hull, John C. (2018), Options, Futures and Other Derivatives (10th ed...

with different expiry dates) and the corresponding put time spread should be related by put-call parity, with the difference in price explained by the effect...

price of calls and puts on an underlying should be related by put-call parity. If these prices are misquoted relative to the put-call parity relationship...

equal to the strike of the caps and floors, then we have the following put–call parity: Cap-Floor = Swap. Caps and floors have the same implied vol too for...

is an embedded put option that allows investors to put the bond back to the issuer before its maturity date. These are called putable bonds. Both of these...

low. Because of the put–call parity, it doesn't matter if the options traded are calls or puts. This is true because put-call parity posits a risk neutral...

\\0&{\text{otherwise.}}\end{cases}}} Option time value Intrinsic value Put-call parity McMillan, Lawrence G. (2002). Options as a Strategic Investment (4th ed...

portfolio. In limited cases static replication is sufficient, notably in put–call parity. An important technical detail is how cash is treated. Most often one...

check is that so-called put–call parity relation should not vary significantly. This means that implied volatility values of Call and Put option in the pair...

Black–Scholes (equation) Finite difference Garman–Kohlhagen Heston Lattices Margrabe Put–call parity MC Simulation Real options Trinomial Vanna–Volga...

asset swap spread Credit default swap #Pricing and valuation Options Put–call parity (Arbitrage relationships for options) Intrinsic value, Time value Moneyness...

additional dividend) – for instance, put–call parity relationships are broken and the early exercise feature of American call options on non-dividend paying...

maturity. Note that to maintain put–call parity, a 20 delta put must have the same implied volatility as an 80 delta call. For this surface, we can see...

rational pricing (i.e. risk neutrality), moneyness, option time value and put–call parity. The valuation itself combines (1) a model of the behavior ("process")...