## A Call-Put Duality for Perpetual American Options

*Alfonsi , Aurélien*;

*Jourdain , Benjamin*;

- Publisher: Springer Verlag
- Subject: Optimal stopping | [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR] | Calibration of volatility | Quantitative Finance - Pricing of Securities | Call-Put Duality | Perpetual American options | Mathematics - Probability | Dupire's formula | Optimal stopping.

- References (14) 14 references, page 1 of 2
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[7] Fajardo, J. and Mordecki, E. (2003). Put-Call Duality and Symmetry, Finance Lab Working Papers 54, Finance Lab, Ibmec S˜ao Paulo.

[8] Gerber, H. U. and Shiu, E. S. W. (1994). Martingale Approach to Pricing Perpetual American Options, Astin Bulletin, Vol. 24, pp. 195-220.

[9] Hobson, D. G. (1998). Volatility Misspecification, Option Pricing and Superreplication via Coupling, The Annals of Applied Probability, Vol. 8, No. 1, pp. 193-205.

[10] Karatzas, I. and Shreve, S. (1991) Brownian Motion and Stochastic Calculus, 2nd ed. New York, Springer-Verlag.

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