Put-Call Parity

Goldman SachsMorgan Stanley

European call and put share strike K = 100 on a non-dividend stock at S = 100, with rate r = 0 and maturity T = 1. The call trades at 8. What is the fair price of the put?

Approach

Use $C - P = S - Ke^{-rT}$ .

With r = 0 and S = K, the forward is at-the-money.

Answer

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