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Teoriya Veroyatnostei i ee Primeneniya, 2001, Volume 46, Issue 1, Pages 181–183
DOI: https://doi.org/10.4213/tvp4037 (Mi tvp4037) 		 
This article is cited in 10 scientific papers (total in 10 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
Full-text PDF (346 kB) Citations (10)
DOI: https://doi.org/10.4213/tvp4037
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.
Received: 29.12.2000
English version:
Theory of Probability and its Applications, 2002, Volume 46, Issue 1, Pages 167–170
DOI: https://doi.org/10.1137/S0040585X97978841
Bibliographic databases:
Document Type: Article
Language: English
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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\by G.~Peskir, A.~N.~Shiryaev
\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://www.mathnet.ru/eng/tvp4037
  • https://doi.org/10.4213/tvp4037
  • https://www.mathnet.ru/eng/tvp/v46/i1/p181
    • This publication is cited in the following 10 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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