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 +
请问为什么PV(F)要乘以(1+R_usd)^T分之一呢?