Timeline for Why the interest rate for put-call parity is not constant?
Current License: CC BY-SA 3.0
13 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Oct 18, 2012 at 0:18 | comment | added | justin-- | @John Dividend is the same across the board, but of course "dividend/strike price" is higher for lower strike price. | |
| Oct 17, 2012 at 4:20 | comment | added | John | @justin I see what you're saying, but I'm not sure that's what I meant. I believe (been a while) I was arguing that the implied dividend yield in the market, working backwards, would be larger for the smaller strike price. Again, similar to your much better thought out answer where you provide the formula. Some cursory double-checking of his graph and the formula you provide suggests that the implied dividend would be higher for the lower stock price strikes. | |
| Oct 17, 2012 at 0:10 | comment | added | justin-- | @John it still doesn't matter whether or not the dividend yield is higher for a lower stock price. | |
| Oct 16, 2012 at 21:26 | comment | added | John | @Justin I didn't say they had anything to do with the strike price. I said I thought it had to do with incorporating dividends into put-call parity, as even your answer addresses. | |
| Oct 16, 2012 at 18:26 | comment | added | justin-- | @John Dividends have nothing to do with strike price. | |
| Oct 16, 2012 at 18:17 | answer | added | justin-- | timeline score: 7 | |
| Oct 13, 2012 at 18:01 | history | tweeted | twitter.com/#!/StackQuant/status/257179370475622400 | ||
| Oct 9, 2012 at 4:07 | answer | added | Larry Burkas | timeline score: 1 | |
| Oct 5, 2012 at 23:48 | vote | accept | Victor | ||
| Oct 5, 2012 at 16:25 | answer | added | Strange | timeline score: 10 | |
| Oct 5, 2012 at 15:59 | answer | added | SRKX | timeline score: 1 | |
| Oct 5, 2012 at 15:37 | comment | added | John | I think it has to do with incorporating dividends into put-call parity. Note that $e^{-rt}$ is positive here, which would imply negative interest rates. The rates are more negative for a lower price. Not 100%, but it is like the dividend yield is higher for a lower stock price. | |
| Oct 5, 2012 at 15:03 | history | asked | Victor | CC BY-SA 3.0 |