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

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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. Peskir^a, A. N. Shiryaev^b

^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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\pages 181--183

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\zmath{https://zbmath.org/?q=an:1003.91028}

\transl

\jour Theory Probab. Appl.

\yr 2002

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Linking options:

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:

Ben Boukai, “How Much is your Strangle Worth? On the Relative Value of the delta-Symmetric Strangle under the Black-Scholes Model”, SSRN Journal, 2020
Nicholas Burgess, “Cash-Settled Swaptions - A Review of Cash-Settled Swaption Pricing”, SSRN Journal, 2018
Nicholas Burgess, “Interest Rate Swaptions - A Review & Derivation of Swaption Pricing Formulae”, SSRN Journal, 2018
Nicholas Burgess, “A Review of the Generalized Black-Scholes Formula & Itts Application to Different Underlying Assets”, SSRN Journal, 2017
R. V. Ivanov, A. N. Shiryaev, “On the duality principle of hedging in diffusion models”, Theory Probab. Appl., 56:3 (2011), 376–402
Yang H., “A Numerical Analysis of American Options with Regime Switching”, Journal of Scientific Computing, 44:1 (2010), 69–91
Eberlein E., Papapantoleon A., Shiryaev A.N., “On the duality principle in option pricing: semimartingale setting”, Finance and Stochastics, 12:2 (2008), 265–292
Poulsen R., “Four things you might not know about the Black-Scholes formula”, Journal of Derivatives, 15:2 (2007), 77–81
Rolf Poulsen, “Four Things You Might Not Know about the Black-Scholes Formula”, SSRN Journal, 2007
Fajardo J., Mordecki E., “Symmetry and duality in Levy markets”, Quantitative Finance, 6:3 (2006), 219–227

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

Theory of Probability and its Applications

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