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For a share S the market quotes put options with a given strike K and expiration T in both european and american styles. Use an
For a share S the market quotes put options with a given strike K and expiration T in both european and american styles. Use an arbitrage argument to construct a formula relating the price of the european put option to the price of the american put option with the same strike and expiration.
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International Finance Transactions Policy And Regulation
Authors: Hal S. Scott
15th Edition
159941547X, 978-1599415475
