hard · FRM Part 1 Valuation and Risk Models
For European call and put options on the same non-dividend-paying underlying, with identical strike price K and maturity T, put-call parity states C - P = S - Ke^-rT, where r > 0 is a nonzero risk-free rate.
Differentiating both sides of this identity with respect to the relevant risk factor, which of the following Greek relationships does NOT generally hold?
- Δ_call - Δ_put = 1
- Gamma_call = Gamma_put
- Theta_call = Theta_put
- Vega_call = Vega_put
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