The american-options tag has no wiki summary.
5
votes
1answer
95 views
How to prove that a set is upward directed? (american options)
Let me first introduce some notation. We are working with a filtred probability space $(\Omega,\mathcal{F},\mathbb{F},P)$ over a time period $[0,T]$, where $\mathbb{F}$ satisfies the usual ...
1
vote
2answers
103 views
Relationship between European, American options volatility
Suppose, if the price of a European option (say a put) can be shown to be monotone in volatility (say for any maturity), does it follow that American options has to be monotone in volatility?
...
4
votes
1answer
212 views
Longstaff-Schwartz (Least Squares Monte Carlo) applied to American Options
I'm working on an implementation in R of Longstaff & Schwartz method from the this 2001 article. I've managed to build code that replicates their prices in table 1 (p. 127), but only for the ones ...
2
votes
1answer
84 views
How are option expiration dates decided?
I looked at the CBOE website and they say the expiration is the Saturday following the third Friday of each month. However, I look up an options chain for Google, for example, and I see three ...
6
votes
1answer
181 views
Upper bound concerning Snell envelope
Consider a non-negative continuous process $X = \left (X_t \right)_ {t\geq 0}$ satisfying $ \mathbb E \left \{ \bar X \right\}< \infty $ (where $ \bar X =\sup _{0\leq t \leq T} X_t $) and its ...
1
vote
2answers
404 views
Early execise of American Call on Non-Dividend paying stock.
Let us consider an American call option with strike price K and the time to maturity be T. Assume that the underlying stock does not pay any dividend. Let the price of this call option is C$^a$ today ...
4
votes
1answer
281 views
Black-Scholes American Put Option
Here is my question: This is a question about Black-Scholes model, but it may be applicable to more complicated models. Throughout the discussion, the strike price $K$, interest rate $r$ and ...
-2
votes
4answers
2k views
Exercising an American call option early
I have seen the rationale behind why it is never optimal to exercise an American call option early, but have a question about it.
If the option strike price is $E=\$20$ and it expires at $T=1yr$, if ...
5
votes
2answers
847 views
Implied Volatility from American options (binomial)
I am trying to get the implied volatility from options on commodity futures and I know it's possible to get it from the binomial american options (on an non-dividend paying stock).
I believe it is ...
5
votes
1answer
298 views
Modified bisection formula for deriving implied volatility for a dividend paying american option
I am trying to work out the formula for calculating the implied volatility of an american option on a stock paying dividends (discrete payments or annualized yield).
On page 171 of Haug
The ...
4
votes
1answer
307 views
What's the connection between implied vol curve of SPX and SPY?
I think there should be an obvious connection of the two implied vol curves from the SPX and SPY markets since the underlying of SPX is SP500, while the underlying of SPY is a ETF which tracks sp500 ...
9
votes
2answers
229 views
When is it rational to exercise a bond option early?
Consider american options on interest rate futures such as the 10-year treasury note. When is early exercise optimal?
