Standard put-call parity formula

Tags: derivatives mechanism options pricing and analysis

Description of the Standard put-call parity formula

Formula for the standard put-call parity

C - P = S - E \cdot e^{- r T}

C

Value of the call

E

Option strike price

P

Value of the put of same expiry and strike than the call

r

Continuously discounted money market rate for duration T

T

Duration (in year fractions) until the option's expiry