Add to ORKGThis note discusses and corrects an inaccurate statement in Veestraeten (2008) concerning the valuation of European stock options in the presence of a lower reflecting boundary. The claim that the put price can be obtained via the risk-neutral call price and the put call parity is not correct. In fact, this note shows that the put call parity cannot be applied when reflection is possible
Purpose – The purpose of the paper is to correct a commonly mistaken notion that an Asian option is ...
Share and option transactions are taxed differently, which means that the after-tax cash flows used ...
Previous studies on American options have shown that European style models do not reflect early exer...
The put-call parity is free from distributional assumptions. It is tempting to assume that this pari...
The original put-call parity relations hold under the premise that the underlying security does not ...
We give an example where the put-call parity does not hold and we give the domain of validity of thi...
The put call parity is based on a static portfolio argument that requires no distributional assumpti...
In this paper, the boundary conditions for put-call parity are extended to take into account the pot...
The issue of developing simple Black-Scholes (BS)-type approximations for pricing European options w...
The discounted stock price under the Constant Elasticity of Variance model is not a martingale when ...
Abstract The issue of developing simple Black-Scholes type approximations for pricing European optio...
Lieu (1990) derived the put-call parity relationship for futures and futures option contracts where ...
There are two common methods for pricing European call options on a stock with known dividends. The ...
We extend the Fundamental Theorem of Finance and the Pricing Rule Representation Theorem to the case...
We present a new put option where the holder enjoys the early exercise feature of American options w...
Purpose – The purpose of the paper is to correct a commonly mistaken notion that an Asian option is ...
Share and option transactions are taxed differently, which means that the after-tax cash flows used ...
Previous studies on American options have shown that European style models do not reflect early exer...
The put-call parity is free from distributional assumptions. It is tempting to assume that this pari...
The original put-call parity relations hold under the premise that the underlying security does not ...
We give an example where the put-call parity does not hold and we give the domain of validity of thi...
The put call parity is based on a static portfolio argument that requires no distributional assumpti...
In this paper, the boundary conditions for put-call parity are extended to take into account the pot...
The issue of developing simple Black-Scholes (BS)-type approximations for pricing European options w...
The discounted stock price under the Constant Elasticity of Variance model is not a martingale when ...
Abstract The issue of developing simple Black-Scholes type approximations for pricing European optio...
Lieu (1990) derived the put-call parity relationship for futures and futures option contracts where ...
There are two common methods for pricing European call options on a stock with known dividends. The ...
We extend the Fundamental Theorem of Finance and the Pricing Rule Representation Theorem to the case...
We present a new put option where the holder enjoys the early exercise feature of American options w...
Purpose – The purpose of the paper is to correct a commonly mistaken notion that an Asian option is ...
Share and option transactions are taxed differently, which means that the after-tax cash flows used ...
Previous studies on American options have shown that European style models do not reflect early exer...