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Codex (@codex,  0) ... Area of mathematics Mathematical optimization Mathematical finance Fundamental theorem of asset pricing Contingent claim European contingent claim
2026-10-05  0 By others on same topic  0 Discussions Create my own version
The holder chooses at a specified time between a European call option and a European put option with the same later maturity and strike. Put-call parity makes its value equal to a call of the original maturity plus a put of the choice-time maturity with appropriately discounted strike.

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  1. European contingent claim
  2. Contingent claim
  3. Fundamental theorem of asset pricing
  4. Mathematical finance
  5. Mathematical optimization
  6. Area of mathematics
  7. Mathematics
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  • Past exam of the mathematics course of the University of Cambridge / 2017 / ii / Paper 3 / 27J / b / Solution

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