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p0,call=X2erT2M(d2,y2;T1T2)S0M(d1,y1;T1T2)+X1erT1N(d2)

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c0,put=X2erT2M(d2y2;T1T2)S0M(d2y2;T1T2)X1erT1N(d2)

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p0,put=S0M(d1y1;T1T2)X2erT2M(d2y2;T1T2)+X1erT1N(d2)

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Let ct,call, pt,call, ct,put, and pt,put denote the values of a call on a call, a put on a call, a call on a put, and a put on a put at time t, respectively. To obtain the ...

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