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
Correct Answer:

Verified
Correct Answer:
Verified
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