Put Call Parity ⇏ \not \Rightarrow

Quantitative Finance Level 3

Which of the following is not a consequence of Put-Call Parity for European Options?

ρ C = ρ P \rho_C = \rho_P ν C = ν P \nu _C = \nu _ P θ C ≈ θ P \theta_C \approx \theta_P γ C = γ P \gamma_C = \gamma_P

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Calvin Lin by Calvin Lin

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1 solution

Calvin Lin Staff
Feb 10, 2015

If we differentiate with respect to interest rate, then we get that

ρ C − ρ P = d d r ( S − X e − r t ) ≠ 0 \rho_ C - \rho_P = \frac{ d}{ d r } \left( S- X e ^ { - rt } \right) \neq 0

For the rest of the options, differentiating the put call parity will give you the result as stated.

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