Prove the following put-call parity relation between the prices of the fixed strike lookback call and floating

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Prove the following put-call parity relation between the prices of the fixed strike lookback call and floating strike lookback put:

Cfix (S, M, t; X) = Pfe (S, max(M, X), t) + S-Xe-rt. Deduce that ac fix M = 0 for M < X.

Give a financial interpretation why c_fixis insensitive to M when M

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Mathematical Models Of Financial Derivative

ISBN: 9783642447938

2nd Edition

Authors: Yue-Kuen Kwok

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Question Posted: Jan 05, 2024 10:45 AM

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Prove the following put-call parity relation between the prices of the fixed strike lookback call and floating

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The putcall parity for a fixed strike lookback call cfix and a floating strike lookback put pfl is given by cfixS M t X pflS maxM X t S Xert Where cfi...View the full answer

Mathematical Models Of Financial Derivative

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