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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 ...
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71 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 ...
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163 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 ...