# Questions tagged [call]

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### Prove the following Call and Put relationship: [duplicate]

I need to prove that $$c(S,X,T)=\frac{X}{F}p(S,\frac{F^2}{X},T)$$ where $$F=Se^{(r-q)(T-t)}$$ I am having trouble proving this relationship. Is this relationship even possible? If so, can someone ...
39 views

### Calculating the max. risk free interest rate with two given options

I have an excercise where we have two European Call Options, which have the same underlying, same maturity $t = 3$, same interest. The only difference is their price and their strike. The price of the ...
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### Interest rates, effect on call price

Generally, we assume that an interest rate increase makes the call price more expensive. From my understanding it is because the expected return on the stock price increases. However the interest rate ...
319 views

### Delta Hedging/ Exchange for Currency Options

I'm looking at 2 cases of hedging EURUSD, using call spread or range forward. Lets say spot is 1.1300 and my buy call is at 1.1300 and sell call is at 1.1500. Hypothetically I'm assuming that this is ...
98 views

### How to derive and interpret the duration of a call option?

I read here that CFA students are taught that $$D_{C} = \frac{\Delta_{C} D_{B} B}{C}$$ Where $D$ is the duration, $\Delta_{C}$ is the first derivative of the options price with regards to the ...
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### Call option with underlying following a Bachelier process

I am trying to reach a derivation/proof for how to price a call option when its underlying asset follows a Bachelier process with unknown drift term: $$dS_t=...dt+\sigma dW_t$$ but zero interest ...
111 views

### Asian Call Option

An Asian call option with the average strike payoff, uses the “averaging” to reduce the effect of volatility. Why is this so?
263 views

### Flaw in the following argument with Binary Options and Skew

A Binary option is ATM and expires tomorrow. If the skew of the vanilla options steepens (left side up, right side down) what happens to the price of the Binary Option. I know that using a ...
211 views

### option call question

i have a question regarding a call option exercise i cant get my head around The price of a stock is 100, the continuously compounded risk free rate is 5%. The strike price of an european call option ...
277 views

### Down-Out Call and Vanilla call price

We all know from text books and practice that a knock out call is usually cheaper than a vanilla call option. Economically speaking, this comes from the fact that there is a probability bigger than ...
134 views

### Question about the process of monte carlo simulation

I have encountered an interesting question. Is it better to simulate the geometric brownian motion process for call itself or GBM for the underlying. My question is can we actually apply GBM to call? ...
131 views

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### How many monte carlo runs do I need for pricing a Call?

I have to price several calls using Monte Carlo. Obviously, there is a huge tradeoff between the number of runs and the fair price of the call option. I know I can check how the approximation changes ...
177 views

### How do you calculate price of non-existant call option on commodity future

I've been stumped on this for awhile now. I'm trying to determine the price of a call option on a commodity futures contract that expires in the future. My issue is that while the future's contracts ...
100 views

### Qualitative properties of call

I have read somewhere that we can show by using arbitrage argument the following relationship for call option : $$\frac{\partial{C_t(T,K)}}{\partial{K}}\leq0$$ \frac{\partial^2{C_t(T,K)}}{\...
820 views

### Calculating Greeks in Covered Calls?

Just want to confirm whether Delta, Gamma, Theta, Vega will be calculated in the following way? Since we own 100 shares of stock while selling a call we need to subtract greek value from one? right? ...
101 views

### Put call parity: when are the premiums the same?

Please explain why put call parity could be compared to the payoff of a long forward contract. ie. $C_E-P_E=V_X(0)$ where $C_E,P_E$ are the call/put premiums and $V_X(0)$ is the value of a long ...
55 views