- Joined
- 6/11/10
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Hello everyone,
I heard a formula like C(S,K)=P(K,S) proved by Peter Carr.
Its simple proof is on foreign exchange market
where One Call on Euro denominated by Dollar is somehow equivalent to K Puts on Dollar denominated by Euro, considering the exchange effect,
Co(S0,K)=KSo Po(1/So,1/K)
where 1EUR=SoUSD now
Is there an elaboration on this issue? thanks.
I heard a formula like C(S,K)=P(K,S) proved by Peter Carr.
Its simple proof is on foreign exchange market
where One Call on Euro denominated by Dollar is somehow equivalent to K Puts on Dollar denominated by Euro, considering the exchange effect,
Co(S0,K)=KSo Po(1/So,1/K)
where 1EUR=SoUSD now
Is there an elaboration on this issue? thanks.