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Call-put parity, Rainbow best-of-two

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created by: Thijs van den Berg (http://www.sitmo.com)
Call-put parity, Rainbow best-of-two equation

The value of a put option on the maximum of two assets equals the strike, minus the zero-call option on the maximum of two assets, plus the call on the maximum of two assets.

List of symbols

K Strike
r Continuous compounded interest rate
T Time till expiration
First asset
Second asset
The maximum of a and b
Payoff of a zero strike call on the maximum of two assets
Payoff of the put on the maximum of two assets
Payoff of a call on the maximum of two assets
Rainbow put option with strike K
Rainbow call option with strike K

Related Equations
Barrier in-out parity »  
Best-of-two, spread option parity »  
Best-of-two-and-cash / Rainbow option parity »  
Call-Put Parity, Binary asset-or-nothing option »  
Call-Put Parity, Binary cash-or-nothing option »  
Call-put parity, Rainbow worst-of-two »  
Call-Put Parity, Vanilla Option »  
Worst-of-two, spread option parity »  
Worst-of-two-and-cash / Rainbow option parity »  
Main Equations Index »
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