What is the proof for S * exp(-(d1)^2/2) = K * exp(-r(T-t)) * exp(-(d2)^2/2) ?

[Albert Feynmann]

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.

 

[DStahl]

Use the definition of d1 or d2 and simplify. Recall d1= d2+sigma*sqrt(T-t)

 

[dstefan]

See the attached explanation for the computations of the Greeks in a Black-Scholes framework from A Primer for the Mathematics of Financial Engineering

 

[quotes]

I remember there is a proof in John Hull's book.