Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger

A parity result for American options
Robert L. McDonald, Mark D. Schroder
Abstract
ABSTRACT
This paper demonstrates that when the price of the underlying asset is governed by geometric Brownian motion the price of a call option with underlying asset price S, strike price K, interest rate ã, and dividend yield ä is equal to the price of an otherwise identical put option with asset price K, strike price S, interest rate ä, and dividend yield ã. The result is true for both European and American options, and implies that the prices of at-the-money American call and put options on futures are equal.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net