The payoff of a capitalized-strike American put option is (left(K e^{r t}-S_{t} ight)^{+})if exercised at time (t).

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The payoff of a capitalized-strike American put option is \(\left(K e^{r t}-S_{t}\right)^{+}\)if exercised at time \(t\). Prove that the price of this option is the price of a European put, with strike \(e^{r T} K\).

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Mathematical Methods For Financial Markets

ISBN: 9781447125242

1st Edition

Authors: Monique Jeanblanc, Marc Yor, Marc Chesney

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