Put-call-futures parity is the relationship between the prices of puts,calls,and futures on an asset.Assuming a constant risk-free rate and European options,which of the following correctly expresses the relationship of put-call-futures parity?
A)Pe(S0,T)= Ce(S0,T)+ (X - f0(T))(1 + r)-T
B)Pe(S0,T,X)= Ce(S0,T)- (X - f0(T))(1 + r)-T
C)Pe(S0,T,X)= Ce(S0,T,X)+ (X - f0(T))(1 + r)-T
D)Pe(S0,T,X)= Ce(S0,T,X)(X - f0(T))(1 + r)-T
E)none of the above

Question

Quizplus · Accepted Answer

The put-call-futures parity is expressed as Pe(S0,T,X) = Ce(S0,T,X) + (X - f0(T))(1 + r)^-T, where Pe and Ce are the prices of European put and call options, X is the strike price, f0(T) is the futures price, and r is the risk-free rate.

Put-Call-Futures Parity Is the Relationship Between the Prices of Puts,calls,and