Digital call price from a digital put at 0.36
Question
A digital put pays if and nothing otherwise; the matching digital call pays if . The digital put costs and a bond paying at expiry costs . What should the digital call cost?
Short answer
. Together the digital call and put pay in every state, exactly like the bond, so their prices sum to and the call costs .
Adapted from QuantQuestions.io; question and answer rewritten by SelfMadeQuant.com.
See the hint and the full worked solution in the question bank (free account).
Open the worked solution