This article is cited in 10 papers

Short Communications

A Note on the Call–Put Parity and a Call–Put Duality

G. Peskir^a, A. N. Shiryaev<sup>b

a</sup> University of Aarhus, Department of Mathematical Sciences
^b Steklov Mathematical Institute, Russian Academy of Sciences

Abstract: Along with the well-known "call–put parity" relation that makes it possible to express the rational price of a put option in terms of the rational price of a call option, we introduce a "call–put duality" relation. This new concept offers a simple explanation of the relationship between the rational price of a put option and a call option, not only for options of the European type, but also for options of the American type.

Keywords: call–put parity, Black–Merton–Scholes model, call–put duality, American call–put option, European call–put option, optimal stopping problem, free-boundary problem.

Received: 29.12.2000

Language: English

DOI: 10.4213/tvp4037

 English version: Theory of Probability and its Applications, 2002, 46:1, 167–170

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