Symbol | Definition |
---|---|
\(S(t)\) | Stock Price at time \(t\) |
\(C(t)\) | Call Option Price at time \(t\) |
\(P(t)\) | Put Option Price at time \(t\) |
\(E\) | Strike Price |
\(T\) | Expiry time |
\[\begin{align} C(T) = max(S(T) - E, 0) \\ P(T) = max(E - S(T), 0) \end{align}\]
\[ C(t) - P(t) = S(t) - Ee^{-r(T-t)} \]