New answers tagged short-rate
1
You can simply apply formula (3.4) in Brigo and Mercurio's book (page 56). There is a simple put-call parity for the prices of European-style options written on zero-coupon bonds, i.e.
\begin{align*}
\mathbf{ZBP}(t,T,S,X) = \mathbf{ZBC}(t,T,S,X) -P(t,S)+XP(t,T).
\end{align*}
The formula is kind of identical to the standard equity put call parity where you ...
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