Question
The price of an American put with the maturity of 6 months on a non-dividend-paying stock is $3. The stock price is $29, the strike
The price of an American put with the maturity of 6 months on a non-dividend-paying stock is $3. The stock price is $29, the strike price is $28. The risk-free interest rate is 8%. What is the product(multiplication) of the upper and lower bounds for the price of an American put on the same stock with the same strike price and expiration date?
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The Volatility Surface A Practitioner's Guide
Authors: Jim Gatheral
1st Edition
0471792519, 978-0471792512
