Use the put-call parity to derive the relationship between the theta of a European call option and the theta of a European put option. Show that the relationship holds if you substitute the formulas for theta of call and theta of put in the Black-Scholes model.

Use the put-call parity to derive the relationship between the theta of a European call option and the theta of a European put option. Show that the relationship holds if you substitute the formulas for theta of call and theta of put in the Black-Scholes model.

International Financial Management

14th Edition

ISBN:9780357130698

Author:Madura

Publisher:Madura

Chapter11: Managing Transaction Exposure

Section: Chapter Questions

Problem 14QA

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Use the put-call parity to derive the relationship between the theta of a European call option and the
theta of a European put option. Show that the relationship holds if you substitute the formulas for
theta of call and theta of put in the Black-Scholes model.

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