We have just introduced Parisian down-and-in options with a call feature, denoted here C D I P
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We have just introduced Parisian down-and-in options with a call feature, denoted here CDIPa. One can also define Parisian up-and-in options PUIPa with a put feature, i.e., with payoff (K−ST)+1{G+,LD<T}. Prove the symmetry formula
CDIPa(S0,K,L;r,δ;D,T)=KS0PUIPa(S−10,K−1,L−1,δ,r;D,T)
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SOLUTION To prove the symmetry formula between Parisian downandin options with a call feature CDIPa and Parisian upandin options with a put feature PUIPa we need to show that CDIPaS0 K L r D T KS0PUIP...View the full answer
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Related Book For
Mathematical Methods For Financial Markets
ISBN: 9781447125242
1st Edition
Authors: Monique Jeanblanc, Marc Yor, Marc Chesney
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