Put-Call Parity for European Exotic Options

15 Pages Posted: 3 Jul 2009

Date Written: June 28, 2009


I propose a simple generalization of put-call parity that holds for a large class of exotic European options. The result rests on a reasonable generalization of the concepts of put and call. The proof is based on the fundamental theorem of arbitrage pricing and elementary properties of real numbers. I also propose a generalization of the notion of intrinsic value and volatility smile. Here I leverage on the relationship between put-call parity and the smile/smirk in the vanilla case.

Keywords: no-arbitrage equalities, Put-Call Parity, arbitrage pricing, European options, exotic options, volatility smile/smirk, intrinsic value

JEL Classification: G13

Suggested Citation

Castellacci, Giuseppe, Put-Call Parity for European Exotic Options (June 28, 2009). Available at SSRN: https://ssrn.com/abstract=1426986 or http://dx.doi.org/10.2139/ssrn.1426986

Giuseppe Castellacci (Contact Author)

New York University (NYU) ( email )

Bobst Library, E-resource Acquisitions
20 Cooper Square 3rd Floor
New York, NY 10003-711
United States

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