# Questions tagged [european-options]

An option that can be exercised only at expiration.

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### Practical use of Dual Delta?

I am wondering what the practical use of the Black-Scholes Dual-Delta is? I know it is the first derivative wrt the strike price: $$\frac{\partial V}{\partial K} = -\omega e^{-r T} \Phi(\omega d_2)$$...
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### At what threshold on delta percentage should I hedge my option portfolio?

I am able to identify and build an option portfolio with long/short call/put options across different strikes and expiries such that the gamma is positive and cost is negative. Upon inception I hedge ...
63 views

210 views

### Right risk free rate to price an Option using BS formula

I understand this is very basic question but I still scramble to determine what would be right risk free rate to price a simple European call option using Black-scholes formula, with maturity is 5 ...
1 vote
70 views

### Calibration period

I want to calibrate some model to market data. This could fx be Bates, Kou, Black-Scholes, etc. So, for each model we have a set of parameters which need to be estimated through calibration. Now, my ...
7 views

### Access expired options data [duplicate]

I would like to access expired options data, for example, I would like to know the evolution of the call price for a certain option, during the month before the expiry date, which would for example be ...
298 views

### Derivation of Call Theta from Black Scholes Model [closed]

How is call theta mathematically derived from Black Scholes Model (without approximation) ? Please help me understand each step mathematically.
770 views

### Can european call option on stock have positive theta? (assume positive interest rate)

I believe the answer is no, as minimum value of call option is S - PV(K), which can never be below S-K. The reason for the question is this paragraph in Natenberg, pg 109: Is it ever possible for an ...
1 vote
75 views

### Contradictory arguments for ATM/ITM/OTM option demand

I am trying to understand which of the options have the most demand, and found this discussion here. The arguments presented are as follows: ATM is more liquidly traded than ITM/OTM because they are ...
336 views

### Why is this inequality strict for arbitrage argument for European call?

in the notes about arbitrage arguments I am reading, I notice the statement We can also see that $$C^E_t>(S_t-K\mathrm{e}^{-r(T-t)})^+$$ Notice that the inequality holds STRICTLY! I don't ...