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Dec
2
revised How to understand this tickdata `askvolume` and `bidvolume` fields?
added 4 characters in body; edited title
Dec
2
comment How to estimate the price of a European call when the underlying is not tradable?
@Olaf I see your point. I'm trying to consider a case where the options are not traded either.
Dec
1
comment How to estimate the price of a European call when the underlying is not tradable?
@StudentT I've heard this argument, but let's say the payoff is cash-settled, then it clearly has a value right?
Dec
1
revised How to estimate the price of a European call when the underlying is not tradable?
added 113 characters in body
Dec
1
comment How to estimate the price of a European call when the underlying is not tradable?
@owner example is a call on a company not publicly traded, which might become tradable in the future
Dec
1
comment How to estimate the price of a European call when the underlying is not tradable?
Well a real option would be valued assuming you delta hedge in most cases, I'm looking to see which other methods are available.
Dec
1
revised How to price an option allowing to change a call into a put?
added 2 characters in body
Dec
1
revised How to price an option allowing to change a call into a put?
added 2 characters in body
Dec
1
asked How to estimate the price of a European call when the underlying is not tradable?
Dec
1
awarded  Copy Editor
Dec
1
comment Liquidity effect in case MS decrease
You'll need to document your question a lot more to make it more understandable and self-sufficient.
Dec
1
revised How to price an option allowing to change a call into a put?
deleted 35 characters in body; edited tags; edited title
Dec
1
answered How to price an option allowing to change a call into a put?
Dec
1
comment How to price an option allowing to change a call into a put?
When you say the value at time $t$, you mean the value of the "global option" right? if that's the case then your result say that if $S_t<K e^{-r(tT-t)}$ then the value of the global option is exactly the value of a put, which is what I think doesn't make sense, because you clearly have more than a put here. I think the confusion here comes from the fact that the interviewer want to know the value at time $t \leq T_1=1 \leq T_2 = 2$. You set $t=T_1=1$. So in short, I agreed with your statement before you edited by replacing payoff by value.
Nov
30
comment How to price an option allowing to change a call into a put?
Oh ok, didn't see the max was removed. However, I'm surprised here, because the first term is the price of a put, the second is $0$ when $K e^{-r(T-t)} >= S_t$, which means that is the call is out of the money at time $t$, this option is only worth a put? That can't be right can it? Isn't there an expectation missing around all this?
Nov
30
accepted How to use a change of numeraire to price this option?
Nov
30
accepted What is the correlation between these two functions of GBMs?
Nov
30
comment How to price an option allowing to change a call into a put?
Ok but didn't you write $\max(a,b) = b + \max(a,0)$ there?
Nov
30
comment How to price an option allowing to change a call into a put?
How do you get from line 1 to line 2? Both values should be positive because of the extrinsic value right?
Nov
23
comment How to price a path dependent exchange option using?
Interesting approach I wonder if you get the same result as @Gordon though. However, the is the portfolio self-financing there, I mean you do have to pay for $S_0 - P_0$ it does not change the result though?