Beruflich Dokumente
Kultur Dokumente
P0 = K · e−r T + C0 − S0
= K · e−r T + S0 · Φ (d1 (S0 , t)) − K · e−r T · Φ (d2 (S0 , t)) − S0
= K · e−r T (1 − Φ (d2 (S0 , t))) − S0 (1 − Φ (d1 (S0 , t)))
= K · e−r T · Φ (−d2 (S0 , t)) − S0 · Φ (−d1 (S0 , t))
(a) Determine the price at time zero, denoted V0P , of the American put that expires at time three and has
intrinsic value gP (s) = (4 − s)+ .
(b) Determine the price at time zero, denoted V0C , of the American call that expires at time three and has
intrinsic value gC (s) = (s − 4)+ .
(c) Determine the price at time zero, denoted V0S , of the American straddle that expires at time three and has
intrinsic value gS (s) = gP (s) + gC (s).
(d) Explain why it is possible that V0S < V0P + V0C .
(Solution see Excel File)