All Questions
Tagged with american-options volatility
7 questions
1
vote
0
answers
45
views
Early exercise with multiple dividends
I am wondering how early exercise conditions work on multiple dividends. Say a stock pays 4 dividends in a year. We are 1 day before the first ex-div date and long an ITM Call and ITM put in an expiry ...
- 11
1
vote
0
answers
113
views
Volatility of American vs European Stock option return
Let's say that I hold an American Call Option (ACO) and an European Call Option (ECO) in my portfolio on the same underlying, with same strike price and same maturity date. Given that I hold both ...
- 11
2
votes
0
answers
110
views
Relation between volatility and exercise timing of American Options
Hopefully someone can help me with intuition. Suppose that we have a stock whose value evolves per the geometric brownian motion $dX_t=X_t\mu dt+X_t\sigma dW_t$, for $\sigma>0$, $\mu\in\mathbb{R}$ ...
- 155
3
votes
1
answer
4k
views
Implied Volatility Surface - log forward moneyness
I'm reading this paper by Fengler (2005) and have came across the below snippet.
context: Implied volatiltiy surface plot has 3 dimensions IV, Strike, Time to Maturity. Author replaced Strike with ...
2
votes
0
answers
231
views
Relative Value Trading of American Style Options on Futures, Calcuating hedging ratios?
I am interested in Relative Value Trading of American style options on futures and have not found a whole lot of literature on it. The best resource I have discovered so far is a few pages in Colin ...
- 21
10
votes
1
answer
2k
views
Constructing Volatility Smile from American Options
My question is about best practices for reconstructing volatility smiles for a fixed tenor from American option data. For simplicity/liquidity, I am currently considering options on SPY. I am ...
- 101
3
votes
2
answers
2k
views
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?
...
- 1,033