IFoA SP6 Practice Questions - IFoA SP6 Financial Derivatives Specialist Principles Exam

Put-call parity for European options on a non-dividend-paying stock states that:

c + Ke^(-rT) = p + S0 c - p = Ke^(-rT) - S0 p - c = S0 - Ke^(-rT) c + p = S0 + Ke^(-rT)

Correct Answer:

c + Ke^(-rT) = p + S0

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