- Joined
- 9/14/12
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I have read that for a European call option, there is an equivalence between the underlying's price S and the option strike price K as follows:
S * exp(-(d1)^2/2) = K * exp(-r(T-t)) * exp(-(d2)^2/2)
where d1 = call formula d1 as given in any textbook, and same for d2.
However I cannot find the proof anywhere for this. Any references, outlines, explanations, ideas, would be welcome.
S * exp(-(d1)^2/2) = K * exp(-r(T-t)) * exp(-(d2)^2/2)
where d1 = call formula d1 as given in any textbook, and same for d2.
However I cannot find the proof anywhere for this. Any references, outlines, explanations, ideas, would be welcome.