Put-Call Parity
Free SOA Exam FAM (Fundamentals of Actuarial Mathematics) lesson in Option Pricing Fundamentals. 9 min read, ~1,352 words.
Parity:, or equivalently. Find put from call:. Synthetic positions: any one of {C, P, S, bond} = combination of the other three. Violations create arbitrage: sell overpriced side, buy underpriced side. European only: American options satisfy an inequality, not equality.
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What this lesson covers
- Content
- Example 1
- Example 2
- Common Mistakes
- Key Takeaways
- Exam Shortcuts
Learning objectives
- 6d
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