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Partial Information: The Greeks

  • Donald G. Saari
Chapter
  • 1.5k Downloads
Part of the Undergraduate Texts in Mathematics book series (UTM)

Abstract

Applying the Equation  6.1 argument to PE(S, t), along with the boundary condition \(P_E(S, T) = \max (E-S, 0)\), makes it reasonable to expect that
$$\displaystyle P_E(S, t) = Ee^{-r(T-t)}\times [\mathrm{modifying terms}] - S\times [\mathrm{modifying terms}]. $$
This the case. The actual PE(S, t) solution follows immediately from our powerful friend the Put–Call Parity Equation.

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© Springer Nature Switzerland AG 2019

Authors and Affiliations

  • Donald G. Saari
    • 1
  1. 1.Departments of Economics and MathematicsUniversity of CaliforniaIrvineUSA

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