Does put-call parity hold for european options

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Reference no: EM132056880

1. Consider the following binomial option model. Stock price is 10 dollars now. In 1 year it can go to 12 dollars or 8 dollars. Interest rate with annual compounding is 10 percent. What is the price of a 1 year call with strike 11. .What are the risk-neutral probabilities? SHOW CALCULATIONS

2. Does put-call parity hold for European options and why?

3. Give the definition of VAR and CVAR.

4. What is the delta of a short position in deep in-the-money put?

Reference no: EM132056880

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