put call parity for american option

pizza · October 10th, 2008, 9:24 am

I'm not sure if this way of asking for help should be encouraged with an answer.On the other hand, this is a rare occasion for me to be useful in this forum, so here goes.I can't find it on Hull, but I'm pretty sure it's correct.

bilbo1408 · October 11th, 2008, 11:27 am

It's not correct. It is:

pizza · October 13th, 2008, 10:56 am

Sorry, I left out the strike, thus breaking the beautiful asset/cash symmetry. I meant (taking any convenience yield q into account)Might still be wrong, I'll try to prove it when I have a second.Thanks

ppauper · October 14th, 2008, 12:27 pm

the standard references seem to beMcDonald & Schroeder: J. Comp. Finance 1998 v1 pp5-13Chesney & Gibson: Advances in Futures and Options Research 1993 v8 pp85-112(before you ask.....I don't have a copy of these)