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Call-put parity, Rainbow worst-of-two
created by:
Thijs van den Berg
(http://www.sitmo.com)
The value of a put option on the minimum of two assets = the strike - the zero-call option on the minimum of two assets + the call on the minimum of two assets.
List of symbols
The minimum of S1 and S2
K
Strike
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 best-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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