New answers tagged

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 ...


Top 50 recent answers are included