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Teor. Veroyatnost. i Primenen., 2001, Volume 46, Issue 1, Pages 181–183 (Mi tvp4037)  

This article is cited in 5 scientific papers (total in 5 papers)

Short Communications

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

G. Peskira, A. N. Shiryaevb

a University of Aarhus, Department of Mathematical Sciences
b Steklov Mathematical Institute, Russian Academy of Sciences

Abstract: Along with the well-known "call–put parity" relation that makes it possible to express the rational price of a put option in terms of the rational price of a call option, we introduce a "call–put duality" relation. This new concept offers a simple explanation of the relationship between the rational price of a put option and a call option, not only for options of the European type, but also for options of the American type.

Keywords: call–put parity, Black–Merton–Scholes model, call–put duality, American call–put option, European call–put option, optimal stopping problem, free-boundary problem.

DOI: https://doi.org/10.4213/tvp4037

Full text: PDF file (346 kB)

English version:
Theory of Probability and its Applications, 2002, 46:1, 167–170

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Received: 29.12.2000
Language:

Citation: G. Peskir, A. N. Shiryaev, “A Note on the Call–Put Parity and a Call–Put Duality”, Teor. Veroyatnost. i Primenen., 46:1 (2001), 181–183; Theory Probab. Appl., 46:1 (2002), 167–170

Citation in format AMSBIB
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\paper A Note on the Call--Put Parity and a Call--Put Duality
\jour Teor. Veroyatnost. i Primenen.
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\issue 1
\pages 181--183
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\transl
\jour Theory Probab. Appl.
\yr 2002
\vol 46
\issue 1
\pages 167--170
\crossref{https://doi.org/10.1137/S0040585X97978841}
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  • https://doi.org/10.4213/tvp4037
  • http://mi.mathnet.ru/eng/tvp/v46/i1/p181

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    Citing articles on Google Scholar: Russian citations, English citations
    Related articles on Google Scholar: Russian articles, English articles

    This publication is cited in the following articles:
    1. Fajardo J., Mordecki E., “Symmetry and duality in Levy markets”, Quantitative Finance, 6:3 (2006), 219–227  crossref  mathscinet  zmath  isi  scopus
    2. Poulsen R., “Four things you might not know about the Black-Scholes formula”, Journal of Derivatives, 15:2 (2007), 77–81  crossref  isi  scopus
    3. Eberlein E., Papapantoleon A., Shiryaev A.N., “On the duality principle in option pricing: semimartingale setting”, Finance and Stochastics, 12:2 (2008), 265–292  crossref  mathscinet  zmath  isi  scopus
    4. Yang H., “A Numerical Analysis of American Options with Regime Switching”, Journal of Scientific Computing, 44:1 (2010), 69–91  crossref  mathscinet  zmath  isi  scopus
    5. R. V. Ivanov, A. N. Shiryaev, “On the duality principle of hedging in diffusion models”, Theory Probab. Appl., 56:3 (2011), 376–402  mathnet  crossref  crossref  mathscinet  isi  elib  elib
  • Теория вероятностей и ее применения Theory of Probability and its Applications
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