Yes, the basis of option parity relationship is risk-neutral pricing principle.

Risk-neutral pricing principle is a pricing method of discounting uncertain future income with risk-free interest rate without arbitrage. According to this principle, if there is no arbitrage opportunity in the market, then it can be assumed that the future income is uncertain, and this uncertainty can be discounted by the risk-free interest rate.

In option trading, option parity means that there is a certain price relationship between call options (or put options) with the same assets, the same maturity date and different exercise prices. This price relationship can be explained and calculated by the risk-neutral pricing principle.

Specifically, suppose there are two call options (or put options), and the strike prices are K 1 and K2, K 1

According to the risk-neutral pricing principle and no arbitrage principle, the parity relationship formula between call options (or put options) can be derived. This formula can be expressed by a mathematical expression: C 1 (K 1, t) = C2 (K2, t)+P2 (K2, t)-P 1 (K 1, t), where C 1.

Therefore, it can be seen that the option parity relationship is based on the risk-neutral pricing principle. Only when there is no arbitrage opportunity in the market will this parity relationship exist.