问题如下:
Use the results in Chapter 9 to determine put-call parity for a currency options on the GBP/USD exchange rate. Express your answer in terms of the USD risk-free rate, RUSD, the GBP risk-free rate, RGBP, and the time to maturity, T.
选项:
解释:
with equation
Substituting this into Equation Price + PV(K) = European Put Price + PV(F) and noting that:
European Call Price + = European Put Price +
c+pv(k)=p+s, 答案里为什么等式右边是p+pv(F)呢?是的新公式吗?另外,答案怎么从倒数第二步pv(F)=s/(1+Rgbp)^T,到最后 一步k/(1+Rgbp)^T)的呢