Varying Times to Expiration

Tags: #Financial #Economics

Equation

$$T_{2} \ge T_{1} \\ C(S_{t},K,t,T_{2}) \ge C(S_{t},K,t,T_{1}) \le S_{t} \\ P(S_{t},K,t,T_{2}) \ge P(S_{t},K,t,T_{1}) \le S_{t}$$

Latex Code

                                 T_{2} \ge T_{1} \\
C(S_{t},K,t,T_{2}) \ge C(S_{t},K,t,T_{1}) \le S_{t} \\
P(S_{t},K,t,T_{2}) \ge P(S_{t},K,t,T_{1}) \le S_{t}

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Introduction

Equation



Latex Code

            T_{2} \ge T_{1} \\
            C(S_{t},K,t,T_{2}) \ge C(S_{t},K,t,T_{1}) \le S_{t} \\
            P(S_{t},K,t,T_{2}) \ge P(S_{t},K,t,T_{1}) \le S_{t}

Explanation

For American options, when expiration T2 > T1, the above equations holds.

  • : American Call Option Price
  • : American Put Option Price

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