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fishfishqq
02-07-2008, 12:15 AM
Hi,

Is the Advanced Portfolio Management Formulae Sheet in the SOA study guide the same one we will be given in the exam?

Why the put-call parity formula at the bottom of page 14 looks wrong to me? I think it should be c + Ke^(-rT) = p + S0 in John Hall's book... But in the SOA Formulae sheet it is c + Ke^(-rT) = p + S0e^(-qT), and not where in the formulae sheet tells the difference between rate r vs. q. Anyone can kindly give some help here??

Car'a'carn
02-07-2008, 12:29 AM
q is the rate of the dividend payed by the stock. Original BS was derived under assumption of no dividends, i.e. q=0.

I am pretty sure Hull explains all that.

fishfishqq
02-07-2008, 12:34 AM
yap... got it immediately when I turned to chapter 14!!
I really need some sleep before going on with this book....:oops:


q is the rate of the dividend payed by the stock. Original BS was derived under assumption of no dividends, i.e. q=0.

I am pretty sure Hull explains all that.