If an underlying doesn't pay dividends (for our purpose defined as any distribution to the underlying's holder) directly or indirectly (e.g. options on futures) how does put-call parity change from the usual assumption of a European option?
In particular, I'm thinking of bond options like the 10-year Treasury Note. Clearly options like these are worth more but how much more and what factors are required to evaluate put-call parity?
In John Hull's Option's, Futures and Other Derivatives, it states in the chapter "Properties of Stock Options" that from put-call parity, it follows for American options that $$ S_0 - K \le C - P \le S_0 - K e^{-rT} $$ where $C$ and $P$ are the American call and put prices.
In the book, the derivation is left as an exercise.
There is an interesting article entitled American Put Call Symmetry from the mid 90s that might be what you want.
