A Note on the Call-Put Parity and a Call-Put Duality

DOI10.1137/S0040585X97978841zbMath1003.91028OpenAlexW2080022872MaRDI QIDQ4328535

Goran Peskir, Albert N. Shiryaev

Publication date: 25 April 2002

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97978841

zbMATH Keywords

free-boundary problemoptimal stopping problemcall-put dualityBlack-Merton-Scholes modelAmerican call-put optioncall-put parityEuropean call-put option

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Related Items (2)

A numerical analysis of American options with regime switching ⋮ On the duality principle in option pricing: semimartingale setting

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