Duality for Perpetual American Op - tions
نویسندگان
چکیده
In this paper, we investigate the generalization of the Call-Put duality equality obtained in [1] for perpetual American options when the Call-Put payoff (y − x)+ is replaced by φ(x, y). It turns out that the duality still holds under monotonicity and concavity assumptions on φ. The specific analytical form of the Call-Put payoff only makes calculations easier but is not crucial unlike in the derivation of the Call-Put duality equality for European options. Last, we give some examples for which the optimal strategy is known explicitly.
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In this paper, we investigate the generalization of the Call-Put duality equality obtained in [1] for perpetual American options when the Call-Put payoff (y − x)+ is replaced by φ(x, y). It turns out that the duality still holds under monotonicity and concavity assumptions on φ. The specific analytical form of the Call-Put payoff only makes calculations easier but is not crucial unlike in the d...
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تاریخ انتشار 2008