The put-call-parity tag has no wiki summary.
2
votes
4answers
447 views
Call vs. Put Option
I have two interrelated questions that have been bothering me for some time. I have read all the stuff online and it still doesn't make sense to me:
Let us assume:
0% interest rate (both hedge ...
1
vote
2answers
277 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 ...
6
votes
4answers
477 views
Why the interest rate for put-call parity is not constant?
Usimg the put-call parity
$C - P = S - K ยท e^{-rt}$
I tried to estimate the value of $e^{-rt}$, the present value of a zero-coupon bond that matures to 1 in time $t$:
$e^{-rt} = (P - C + S) / K$
...
4
votes
2answers
337 views
Does put-call parity hold for a compound option with underlying American option?
Say there is an American put option that expires $N$ months from today.
A call-on-put (CoP) option provides the owner the right to buy the American put option in exactly $M < N$ months (but no ...
5
votes
2answers
242 views
What changes to put-call parity are necessary when evaluating american options on non-dividend paying assets?
If an underlying doesn't pay dividends (for our purpose defined as any distribution to the underlying's holder) directly or indirectly (e.g. options on futures) how does put-call parity change from ...
2
votes
1answer
373 views
What exactly is the annualized forward premium?
A forward contract has a premium of $ 0$ because it is an obligation to buy or sell something in the future (hence there is more risk). Call and put options, on the other hand, have premiums of $C$ ...
12
votes
6answers
665 views
Setting the r in put-call parity?
Put-call parity is given by $C + Ke^{-r(T-t)} = P + S$.
The variables $C$, $P$ and $S$ are directly observable in the market place. $T-t$ follows by the contract specification.
The variable $r$ is ...
