English, Article edition: GENERAL DUALITY FOR PERPETUAL AMERICAN OPTIONS AURÃLIEN ALFONSI; BENJAMIN JOURDAIN

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Physical Description
  • article
Language
  • English

Edition details

Title
  • GENERAL DUALITY FOR PERPETUAL AMERICAN OPTIONS
Author
  • AURÃLIEN ALFONSI
  • BENJAMIN JOURDAIN
Physical Description
  • article
Notes
  • In this paper, we investigate the generalization of the Call-Put duality equality obtained in Alfonsi and Jourdain (preprint, 2006, available at ) for perpetual American options when the Call-Put payoff (y - x)+ is replaced by Ï(x,y). It turns out that the duality still holds under monotonicity and concavity assumptions on Ï. The specific analytical form of the Call-Put payoff only makes calculations easier but is not crucial unlike in the derivation of the Call-Put duality equality for European options. Last, we give some examples for which the optimal strategy is known explicitly.
  • Perpetual American options, Dupire's formula, Call-Put duality, calibration of volatility, optimal stopping
  • RePEc:wsi:ijtafx:v:11:y:2008:i:06:p:545-566
Language
  • English
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