Summary
The relationship between the price of a European call option and European put option is known as put-call parity.
1
This equation states that a portfolio of a long call option and a short put option is equivalent to a single forward contract at the same strike price and expiry.
2
The value of long options (calls) increases with an increase in interest rate, while the value of short options (puts) decreases.
3
Therefore, long calls and short puts have a positive rho, while long puts and short calls have a negative rho.
3
According to
