In standard Black-Scholes Model, compute the price of an asset-or-nothing put and asset-or-nothing call options. Write down the put-call parity relation between the asset-or-nothing call and put option prices.


the answer for calculating the prices can be found here - see chapter: Black–Scholes valuation ;)

The put-call parity in that case is pretty straight forward: $P=Se^{-qT}-C$. Using the results presented on the Wikipedia page in the aforementioned section this can be proved as follows





Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.