Give a mathematical proof to the following inequality which arises from the Black approximation formula for the
Question:
Give a mathematical proof to the following inequality
which arises from the Black approximation formula for the one-dividend American call (see Sect. 5.1.5). Here, td and T are the ex-dividend date and expiration date, respectively; S and S̃ are the market asset price and the asset price net of the present value of the escrowed dividend, respectively.
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