TL;DR
Put-Call Parity: A canonical quantitative trading interview question at intermediate difficulty. Commonly asked at Optiver, SIG, IMC, Citadel Securities, Jane Street.
By Valenke Exam Prep Team·Last updated 2026-06-01
intermediateGame Theory & Strategy
Put-Call Parity
Asked at: Optiver, SIG, IMC, Citadel Securities, Jane Street
Problem
A European call and European put have the same strike , the same expiry year, and are written on the same non-dividend-paying stock currently at . The risk-free rate is per year (continuous compounding). The call is priced at .
What is the fair price of the put? Derive the relationship from a no-arbitrage argument.
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