Nyt siis kuvatun portfolion kassavirta option erâântymispâivânâ on yhtâlâinen hetkellâ О
asetetun eurooppalaisen myyntioption kassavirran kanssa. Jotta markkinoilla ei olisi
mahdollisuutta arbitraasivoittoihin, taytyy myyntioption hinnan tânaân, P(S5O) olla yhtâlâinen
portfolion hinnan kanssa.
(L2.18) P(S5O) = Kexp(-rT)- K+ C(S5O)
Yhtalosta (L2.15) seuraa, ettâ
(L2.19) P(S5O) == Kexp(-rT) N(-d2) - SN(-d1 ).
Yhtalo (L2.19) on Black-Scholesdrnnoitteluyhtalo eurooppalaiselle myyntioptiolle.
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