标题: Options - No arbitrage Assumption [打印本页] 作者: spartan1 时间: 2011-7-13 16:16 标题: Options - No arbitrage Assumption
c + (X/1+RFR)^t = S + P
Why do they use the T-bond in this case along with the call?作者: Flok 时间: 2011-7-13 16:16
Ok then, with the equation: (X/1+RFR)^t
if you purchase a T-bond how is the interest shown in this formula? It simply shows the principal "X" discounted back over time.作者: Daniel1985 时间: 2011-7-13 16:16
Yes, it is assuming that you are earning a risk free rate and you are discounting 'X' by that rate.
And in the US context, Treasury Securities give you risk free returns.作者: Siddimaula 时间: 2011-7-13 16:16
