All Questions
Tagged with american-options call
7 questions
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21
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How to calculate the theoretical optimal Strike and Expiration for Covered Calls?
Given the following parameters:
Hold the call to expiration.
Estimate of probability of expiring ITM. (I know it is an estimate.)
Indifferent to being called away.
Only fixed number of shares ...
2
votes
1
answer
131
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Difference in value - American call and a European call - stock pays a dividend
For a stock paying a single dividend prior to expiration, I would like to estimate the difference in value between an American call and a European call with the same expiration, strike and underlier.
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3
votes
1
answer
182
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Unable to correctly implement the pricing of an American call with multiple discrete dividends using the Clenshaw-Curtis quadrature
I'm not a quant, just an enthusiast. I am trying to implement in C++ the methodology published in the paper "Fast Quadrature Methods for Options with Discrete Dividends", by Thakoor and ...
0
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0
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43
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Deterministic optimal call time
Consider a American Option on a linear payoff i.e., if called at time $T$, it pays off $S(T)$, the stock price. Is the optimal call time of such an option determinsitc? Is there an intuition to the ...
2
votes
2
answers
2k
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Why it is not possible to price American perpetual call option using PDE approach?
Using a standard PDE approach to price an American perpetual put option I obtain that the price of such option has the following form:
$$
V(S) = A S + B S^{-2r/\sigma^2}.
$$
And then I need to find a ...
2
votes
2
answers
275
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Analysis of exercising a call option early
Most options traders sell their call options early instead of exercising them, as you would make a bigger profit this way due to being able to salvage some remaining extrinsic value.
For example:
...
2
votes
4
answers
1k
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pricing american calls on non dividend paying stocks
It is never optimal to exercise an american call option early if it is written on a stock that doesn't pay dividends, yet when pricing such an option, using a binomial model, we check whether or not ...