A Call-Put Duality for Perpetual American Options

Article, Preprint English OPEN
Alfonsi , Aurélien; Jourdain , Benjamin;
(2009)
  • 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.

International audience; It is well known that in models with time-homogeneous local volatility functions and constant interest and dividend rates, the European Put prices are transformed into European Call prices by the simultaneous exchanges of the interest and dividen... View more
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