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  3. exercise 3 (put-call parity). suppose the interest

Exercise 3 (Put-Call parity). Suppose the interest rate r is a scalar, and let c...

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Exercise 3 (Put-Call parity). Suppose the interest rate r is a scalar, and let c and p denote the prices of a call and put, respectively, both having the same exercise price e. Show that either both are marketable or neither is marketable. Use risk neutral valuation to show that in the former case one has c-p=So - e/(1+r)

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