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2
votes
1answer
79 views

How do I prove that $\lim_{K\searrow0}\frac{P(K,T)}{K} = \mathbb P(S_T=0)$?

I am trying to prove that $$\lim_{K\searrow0}\frac{P(K,T)}{K} = \mathbb P(S_T=0)$$ where $P(K,T)$ denotes the put option price with maturity $T$ and strike $K$ for some stock $S$. Assuming interest ...
0
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0answers
32 views

How to drive simple european put price under Gabillon 2-factor model?

Can someone explain to me for a Simple European Put payoff P(S,T) = max(K-S,0)), how to get simulation and calibration models using analytical approaches, binomial and trinomial trees, multi-factor ...
0
votes
0answers
72 views

Problem with setting up an arbitrage

I have a problem setting up an arbitrage table. I have to prove this relation: $$C_0 + P_0 \geq (k_2 − k_1) e^{−rt}$$ where $C_0$ is the price of a call with strike $k_1$, $P_0$ is the price of a ...
5
votes
1answer
180 views

Why is the Put-Call Symmetry model dependent?

The put-call symmetry states that C(S,t;X,r,q) = P(X,t;S,q,r), and that this works for American options. According to my notes, this is 'model dependent' because it ...