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Which of the Following Statements About Caplet-Floorlet Parity Is INCORRECT

Question 19

Multiple Choice

Which of the following statements about caplet-floorlet parity is INCORRECT?


A) It is a relationship in the interest rate world that is analogous to put-call parity for European options in the world of equities that pay no dividends.
B) It enables you to price a floorlet using the price of a caplet along with some other relevant information.
C) It enables you to price a caplet using the price of a floorlet along with some other relevant information.
D) It is a relationship that links the prices of a caplet,a floorlet,and a zero-coupon bond with a forward rate.
E) It is a relationship that links the prices of four securities: a caplet,a floorlet,a stock,and a bond.

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