Article1998

A parity result for American options

97 citations0/0 files storedThe Journal of Computational Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Capital Investment and Risk Analysis

Abstract

ABSTRACT This paper demonstrates that when the price of the underlying asset is governed by geometric Brownian motion the price of a call option with underlying asset price S, strike price K, interest rate ã, and dividend yield ä is equal to the price of an otherwise identical put option with asset price K, strike price S, interest rate ä, and dividend yield ã. The result is true for both European and American options, and implies that the prices of at-the-money American call and put options on futures are equal.

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2000The valuation of American barrier options using the decomposition technique 1999Changes of Numeraire for Pricing Futures, Forwards, and Options 1997Recent Advances in Numerical Methods for Pricing Derivative Securities 1997Pricing an American Option by Approximating its Early Exercise Boundary as a Piece-Wise Exponential Function 2010American Options: Symmetry Properties 2008A moving boundary approach to American option pricing 2012Finite-Element Methods 2002CLOSED FORM VALUATION OF AMERICAN OPTIONS

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