Put Call Parity
Quantitative Finance
Level
2
Which of the following is not a consequence of Put-Call Parity for European options?
The Call on the 20 strike has a lower delta than the European Call on the 15 strike.
The difference in delta of a call and put on the same strike and time to expiry is 1.
For a Call and Put on the same strike and time to expiry, they have the same vega.
For a Call and Put on the same strike and time to expiry, they have the same gamma.
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1 solution
Put-Call Parity involves a European call option and a European put option both of identical streak price and expiry.