CONTENTS

Exercise: Recovering the Put Price from Parity

Problem

Given a Black-Scholes call price C0=10.45C_0=10.45 with S0=100S_0=100, K=100K=100, r=0.05r=0.05, and T=1T=1, use put-call parity to compute the corresponding European put price.

Hint

Jump to the solution when you're ready.