# Questions tagged [call]

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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 ...
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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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### Upper bound for difference of two call options

Let $r>0$ be the interest rate and $S_t$ the price of a stock at time $t$. Let $C(t,K_1),C(t,K_2)$ be the price of call options at time $t$ with the same underlying asset $S$, the same maturity $T$ ...
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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 ...
201 views

### What is the P&L

I have a question about the P&L calculation, please. If we sell a call option on a stock with a volatility of 16%. Theta is worth 100€/day. Let's assume that the spot moves by 2% in one day. What ...
79 views

### Obtain B-S-M from a binomial tree as n goes to infinty using Lebesgue integral

My question is simple, consider a European call with payoff max(S_T-K, 0), Let's suppose that the underlying stock follows a binomial tree with up and down factors I know as we take n goes to infinity ...
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1 vote
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### Why do one's current holdings matter when selling calls?

I was reading about selling calls, where there is a distinction between selling a naked call versus a covered call. I fail to understand why owning the underlying matters in the case the call's buyer ...
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### VaR of protfolio with put and call

I've stumbbled into this question in a job interview and didn't know how to answer it: Calculate the VaR of a portfolio where you are long put and long a call
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### Which is riskier: a call option or the underlying?

From Joshi's Quant Interview Questions and Answers: What is riskier: a call option or the underlying? (Consider a one day time horizon and compute which has bigger Delta as a fraction of value). I ...
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### Failing to replicate Wilmott's results for binomial option pricing

I am working through Paul Wilmott introduces Quantitative Finance, 2nd ed. I am failing to reproduce one of his numerical examples and I would like to understand why. I chapter 3, Wilmott introduces ...
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### FX Call under stochastic rates and deterministic volatility

Lets denote $S_t$, $r^d_t$,$r^f_t$ respectively the FX spot, the domestic rate and the foreign rate at time $t$. Lets $\mathbb{Q}^d$ , $\mathbb{Q}^f$ respectively be the domestic and foreign mesures,...
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### call vs average of prices

Consider a two-period binomial model, with one risky asset. The are two types of options: call option with strike price $K$, i.e., the payoff is given by $g(S_T)=(S_T-K)^{+}$ option with payoff given ...
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### Geometric brownian motion and probabilities

A stock's price movement is described by the equations $dS_t=0.02S_tdt+0.25S_tdW_t$ and $S_0=100$. An investor buys a call option on said stock with a strike price $K=95$ which expires in $T=2$ years. ...
322 views

### Double Call Option

A double call option allows the holder to either exercise at time $T_{1}$ or time $T_{2}$, where $T_{2}$>$T_{1}$. With corresponding strike prices $K_{1}$ and $K_{2}$, it can be shown that it is never ...
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### Call Probability of European callable IRS [closed]

When pricing a callable IRS (say only one call date) with a diffusion model (e.g. HW 1F) with a Montecarlo resolution, one can get the call probability on the call date versus maturing the date (which ...
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I am trying to price a cash or nothing call option and I know know that the Cash or Nothing formula for a call option is $C(t,s)=Xe^{-r(T-t)}*N(d)$ If I have payoff X=100 r=0.03 T=2 $\sigma=0.3$ I ...