13.19. Show that if C is the price of an American call option on a futures contract when the strike price is X and the maturity is T, and P is the price of an American put on the same futures contract with the same strike price and exercise date,

where F_o is the futures price and is the risk-free rate. Assume that > 0 and that there is no difference between forward and futures contracts. (Hint: Use an analogous approach to that indicated for Problem 12.12.)

Transcribed Image Text:

Foe T-X