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115 CFA
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115.080.02.09 - Reading 49 - 9. Put-Call Parity

9. Put-Call Parity

l. explain put-call parity for European options;

What is the option strategy referred to as a fiduciary call?
A fiduciary call consists of a European call and a risk-free bond that matures on the option expiration day and has a face value (X) equal to the exercise price of the call.

What is the option strategy referred to as a protective put?
A protective put consists of a European put and the underlying asset.

What is put-call parity?
The put and call must have the same underlying, exercise price and expiration date.

What is a synthetic call?
A synthetic call consists of a long put, a long position in the underlying, and a short position in the risk-free bond.

What is a synthetic put?
A synthetic put consists of a long call, a short position in the underlying, and a long position in the risk-free bond.


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  • CFA