ALFONSI, AURÉLIEN; JOURDAIN, BENJAMIN - In: International Journal of Theoretical and Applied … 11 (2008) 06, pp. 545-566
In this paper, we investigate the generalization of the Call-Put duality equality obtained in Alfonsi and Jourdain … out that the duality still holds under monotonicity and concavity assumptions on ϕ. The specific analytical form of the … Call-Put payoff only makes calculations easier but is not crucial unlike in the derivation of the Call-Put duality equality …