Alfonsi, Aurélien; Jourdain, Benjamin - 2009
In this paper, we investigate the generalization of the Call-Put duality equality obtained in Alfonsi and Jourdain for perpetual American options when the Call-Put payoff (y - x) is replaced by ϕ(x,y). It turns out that the duality still holds under monotonicity and concavity assumptions on ϕ....