Valuing stock options when prices are subject to a lower boundary: a correction
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| Publication date | 2012 |
| Journal | The Journal of Futures Markets |
| Number of pages | 9 |
| Organisations |
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| Abstract |
This note discusses and corrects an inaccurate statement in Veestraeten (2008) concerning the valuation of European stock options in the presence of a lower reflecting boundary. The claim that the put price can be obtained via the risk-neutral call price and the put call parity is not correct. In fact, this note shows that the put call parity cannot be applied when reflection is possible. |
| Document type | Erratum / Corrigendum |
| Note | October 3, 2012 |
| Language | English |
| Published at | http://www1.fee.uva.nl/mint/content/people/content/veestraeten/downloadablepapers/hertrichveestraeten%20%282012%29.pdf |
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