Put-Call-Futures Parity Is the Relationship Between the Prices of Puts

question 4

Multiple Choice

Put-call-futures parity is the relationship between the prices of puts, calls, and futures on an asset. Assuming a constant risk-free rate and European options, which of the following correctly expresses the relationship of put-call-futures parity?

• A) Pe(S0,T) = Ce(S0,T) + (X - f0(T))(1 + r)-T
• B) Pe(S0,T,X) = Ce(S0,T) - (X - f0(T))(1 + r)-T
• C) Pe(S0,T,X) = Ce(S0,T,X) + (X - f0(T))(1 + r)-T
• D) Pe(S0,T,X) = Ce(S0,T,X)(X - f0(T))(1 + r)-T
• E) none of the above

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