The american-options tag has no wiki summary.
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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?
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1answer
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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 ...
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1answer
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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 ...
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1answer
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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 $) and its ...
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2answers
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Early execise of American Call on Non-Dividend paying stock.
Let us consider an American call option with strike price K and the time to maturity be T. Assume that the underlying stock does not pay any dividend. Let the price of this call option is C$^a$ today ...
4
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1answer
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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 ...
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4answers
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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 ...
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2answers
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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 ...
4
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1answer
283 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
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1answer
297 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 ...
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2answers
228 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?
