刘同学2022-10-12 21:58:11
请问put-call parity是只对于欧式期权成立吗?美式不成立对吗?
回答(1)
Evian, CFA2022-10-13 21:23:06
ヾ(◍°∇°◍)ノ゙你好同学,
嗯嗯,仅仅对欧式期权成立,因为买卖权平价公式前提需要资产(债券、期权)拥有相同的到期日期,也就是持有到期,不可以期间行权
Put–call parity holds for European options with the same exercise price and expiration date, representing a no-arbitrage relationship between put option, call option, underlying asset, and risk-free asset prices.
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