American Put Call Symmetry
نویسندگان
چکیده
We derive a simple relationship between the values and exercise boundaries of American puts and calls. The relationship holds for options with the same \moneyness", although the absolute level of the strike price and underlying may di er. The result holds in both the Black Scholes model and in a more general di usion setting. We thank Neil Chriss, the editor, and two anonymous referees for their comments. We are also grateful to participants of the Cornell Finance workshop and the 1994 meeting of the French Finance Association. Finally, we credit Fan Yu with excellent research assistance. Any errors are our own.
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تاریخ انتشار 1996