Questions tagged [put]
The put tag has no usage guidance.
68
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Bisection method for implied volatility not working for European Put Options
I am trying to implement a Bisection method for implied volatility calculation. I use an algorithm from Haug (page 455).
...
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1
answer
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Analytical formula for discounted exposure of a European Put on a stock in Real-World measure
Is there an analytical formula to approximate the discounted exposure for a European Put on a Stock in the Real-World measure? This is just an initial phase to be able to assess the accuracy of using ...
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0
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Black's formula derivation: expectation of a indicator times a random variable
In this derivation of Black's formula for puts, we have that $\mathbb{E}[e^X 1_{e^X \leq K/S_0}]$ somehow equals $S_0 e^{\mu + 0.5 \sigma^2} N$ (as above in the formula).
I tried breaking apart the ...
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Given $\mathbb{E}[X]$, $\mathbb{E}[\max(0,X)]$, and $\mathbb{E}[\min(0,X)]$, what is $\mathbb{E}[f(X)]$
Let $X$ be any random variable with any distribution. Given that we know $\mathbb{E}[X]$, $\mathbb{E}[\max(0,X)]$, and $\mathbb{E}[\min(0,X)]$, can you write a formula for $\mathbb{E}[f(X)]$ where $f$ ...
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Portfolio with Put Options - VaR, Std. Dev
I did a Monte Carlo simulation to evaluate my portfolio. I used different Strikes and Weights for the Put options. Now to my problem: All statistical measures (like expected return, volatility) ...
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1
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116
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Short put prices different strikes
I was looking at Robinhood and can't find a rational reason for a put price for the $\\\$117$ strike to be higher than both the $\\\$116$ and the $\\\$119$ strike.
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Pricing a put-option in the Heston Model
Assume the Heston Model with dynamics under the martingale measure $Q$ given by
\begin{align}
dS_t &= (r-q)S_t dt + \sqrt{v_t}S_tdW_{1,t}^Q\\
dv_t &= \kappa(\theta-v_t)dt + \sigma\sqrt{v_t}dW_{...
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2
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383
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If RSX is still halted on expiration, what shall happen to my puts on RSX?
I bought put options on RSX expiring March 11 2022. I want to sell them for cash and profit! I don't want RSX shares!
6 hours ago, my brokerage emailed me that I cannot sell or exercise my puts. What ...
user31928
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3
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Early exercising American put options
I have found a proof that an American put option without dividend will never be exercised early. However, I suspect that that is not true, so there should be a mistake in the proof. The proof is as ...
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How is VaR calculated for forward contracts accounting for European put options?
My initial idea is to create profit and loss using an equation like this:
\begin{align}
P\&L = & \text{European Put P&L} + \text{Forward P&L}\\
P\&L = & [(K-S_T)^+...
- 11
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214
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Do put options experience theta/time decay?
I'm new to quant finance, and I'm confused as to whether or not European put options experience theta decay? It doesn't make sense to me that they should for a couple reasons outlined below, but ...
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Sell weekly covered calls repeatly
If underlying stock prices are random walk in short term, then it doesn't matter where the price go.
What we can definitely certain, is the high Theta in ATM options.
Can we repeatedly sell weekly put,...
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Confused in regards to calculation of delta of one share including one call and one put [closed]
Q:My investment portfolio has one share of one call and one put, what would be the delta of my portfolio ?
delta of call:0.45
delta of put: -0.14
My thought process:
To begin with since im dealing ...
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0
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98
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Price of european call option for different strike prices
Consider two european put options with strike prices $K, J$ with $K<J$ and maturity $T$.
Then the no arbitrage assumption implies $P_{K}(0)<P_J(0)$, where $P_K(0)$ denotes the price of the put ...
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Why do institutional Traders prefer Short Selling instead of Buying Puts?
Why is it more common for Institutional Traders to short sell stocks when they have a bearish stance instead of Buying Puts? The limited loss potential of Buying Puts seems like a better choice.
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What can we say about digital puts and calls with different strike prices?
I am a noob to the field of quantitative finance. I am reading this book by Mark S. Joshi. Can you help me make sense of one of the exercise questions? Here is the question (from page 40 of the book):
...
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Can an In-the-Money Put Option's price $>$ its Strike Price?
The screenshot below suggests thatan ITM put option's price can't overstep its strike price? Why or why not?
user31928
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1
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Why does black scholes model give lower prices for puts with further time to expiry?
Consider BS-model with parameters: Stock = 100, Strike = 100, Texp = 1 year, Vol = 13%, Rf Rate = 3%. For these parameters the BS put price is 3.76. Then consider the same parameters but with Texp = ...
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Option trading strategy to test crash risk premium
I would like test if there are "crash risk premia" priced into out-of-the-money puts. My initial thought was to create a portfolio with a short positions in (deep) OTM put options and a long ...
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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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Arbitrage strategy using binomial tree
Suppose that we have a one step binomial tree model for a company. Lets say that the time per step is T, and that price of the stock can go up to $p_1$ or go down to $p_2$. Suppose a T-month European ...
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Most profitable PUT strike price in these times of high volatility?
At close 3/13/20 SPY was at 270.2, by close 3/16 it dropped to 239.41 ~ 8.8% drop... I'm looking at how to capitalize on these big swings with options.
I'm backtesting option strategies and plotted ...
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Is this the present value of a short position on an option?
Consider a European put option, whose price at time $0$ is $\Pi_0$.
Set:
$$\mathcal{L}_0=\Pi_0 - P(0,t_M)\Pi_{t_M}$$
where 0 < $t_M$ and $P(0, t_M)$ is the discount factor from time $0$ to time $...
0
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Synthetically sell to close puts in limited-margin IRA
Suppose:
I bought an American put on a stock in a retail brokerage IRA, where I can't sell short or write uncovered options.
The put is ITM and has served its purpose for hedging.
The put is thinly ...
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595
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Valuation Down-And-Out Put Option via Rubinstein Closed-Form Solution
I am trying to understand the closed form solution for evaluating a down-and-out put option of Rubinstein and Reiner (1991) as stated in Baule and Tallau (2011) for the valuation of bonus certificates....
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758
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How to Take Advantage of Arbitrage Opportunity of Two Options
I got the following interview question and corresponding solution, but I have a different understand that might be wrong, so I really appreciate your advice on it:
A European put option on a non-...
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How can the solution to a optimal stopping problem be superharmonic?
A general result (Peskir and Shiryaev: Optimal Stopping and Free Boundary Problems, 2006, Thm. 2.4, Page 37) is that the solution to an optimal stopping problem $\sup_\tau EG(X_\tau)$ where $X$ is ...
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some questions about pricing an asset or nothing put option with a strike price equal to St
I am working on a homework exercise where the aim is to price an asset or nothing put with K = St, offcourse the normal formula could be used St * N(-d1), but I was wondering if pricing the asset by ...
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Is the european put option an increasing function?
My question is to show that the function $K \rightarrow p(T,K)$ is increasing. T being maturity time,K being any strike and $p(T,K)$ is a european put option.
My only approach to this question has ...
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HEDGING WITH A PUT OPTION
In the following example, for 3rd question and 4th question why do we have to add (Stock price in three months - Current stock price) to put option profit?
Thank you in advance.
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Kingdom of Denmark Nikkei put warrants [closed]
I have read in a book from Emanuel Derman that Goldman Sachs manufactured a derivative in the early 90's that consisted of buying cheap puts on the Nikkei index (and paid in Yen) and combining them ...
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Pricing of European put option with binomial model
This is an exercise from Mark Joshi's book (exercise 3.6):
A stock is worth 100. Each month its value increases or decreases
by precisely 10. The riskless bond is worth $e^{rt}$ at time t years with ...
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Can increase in volatility reduce the price of a deeply in-the-money European put?
Hull states that option prices increase with an increase in volatility.
I think that statement could be false in a specific scenario: when we are considering a deeply in-the-money European put ...
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Computing option price with rates only
Hi I am learning about options and came across this example:
The spot FX rate AUD/USD is 0.6868, the 6 month ATM implied volatility for AUD/USD is 7.7% p.a., for the 6 month USD deposit rate is 2.28% ...
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What are the main problems for calculating the implied volatility of in the money American put options?
As stated in the question I have a problem with calculating the implied volatility for in the money put options I have a data set of 2.6 million American style plain-vanilla call and put options. For ...
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American put option. Exercise time is a random variable, calculation of expected payoff
I got an American put option, where the payoff is $V_\tau = \max(K - X_{\tau}, 0)$ and $X_{\tau}$ is the price of an underlying at the stopping time $\tau < T$. The underlying follows a standard ...
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Feynman-Kac to derive stochastic representation
$u_t + \frac{1}{2}\sigma^2x^2u_{xx} - \alpha + \lambda((K_d - x)^+ - u) = 0$ with terminal condition $u(T, X) = (K_m - X(T))^+$
$dX = \sigma X(t)dW_t$
$\alpha$ and $\lambda$ are constants
Ok so ...
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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 ...
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is relating bounds to relation between time to maturity and european put option price correct?
J.C. Hull derives the following relation $$Ke^{-rT} - S \le p \le Ke^{-rT}$$
where $p$ is european put option price, $K$ is strike price, $S$ is stock spot price,$r$ rate of interest and $T$ ...
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Return on Investment for rolled options position on margin [duplicate]
I'm trying to calculate my return on investment (ROI) for an options position on margin that has been rolled. I'll give an example:
Sell to Open (STO) a naked put position, for which I collect 100 ...
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Positive theta on a long put?
I am trying to hand-price options under the Black-Scholes model.
Given the following parameters:
Stock price: $12.53$
Strike price: $14.00$
Risk-free rate: $0.03$
Annualized Volatility: $0.10$
Time ...
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Perpetual Put vs European Put
I am looking at a perpetual put option where the strike price is initially the stock price $K(0)=S(0)$ (i.e. at the money), but the strike price grows at the constant risk-free rate $r$ [i.e. $K(t)=S(...
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Pricing perpetual American put option when interest rate is equal to 0
Let us consider perpetual American put option with interest rate: $r = 0$.
The Black-Scholes equation in this case has the form:
$$
\frac{1}{2} \sigma^2 S^2 \frac{d^2 V(t, S)}{dS^2} + (r-d)S \frac{dV(...
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Different versions of Put-Call Parity
Why is it stated sometimes that $C - P = F$
and in wikipedia it statest that $C - P = D(F-K)$, where D is the discount factor and K is the strike (of both the call and put?).
Is this just affected ...
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Perpetual American put option with zero interest rate
I want to find an optimal time when we should exercise perpetual American put option.
In other words I want to maximize the following equation:
$$
V(S) = \sup_{\tau \in \mathcal{\tau}}\mathbb{E}[e^{-...
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When does the CBOE Put Protection Index (PPUT) make profit?
In my question, as stated in the title, I aim to understand when the strategy of the CBOE Put Protection Index (PPUT) makes profit; particularly during which market conditions.
Given the description ...
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What is The Closed-Form Implied Volatility Estimator (As Defined by Hallerbach 2004) for A Put Option?
"An Improved Estimator For Black-Scholes-Merton Implied Volatility" by Hallerbach (2004) (link to article) provides an equation (Eq. 24, Page 13, and below)
for the implied volatility of a call option....
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Put call parity in practice
I understand the Wikipedia article for put-call parity on a theoretical level: if you magically had portfolios consisting of 1) long a call, short a put, and 2) long the stock, short a discounted ...
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Cox-Ross-Rubinstein - getting volatility
i have exam coming on financial engineering, and need help asap with this thing.
Basically there's a European put option ex dividend. We know that the stock price is $S_t = 85$, the exercise price is $...
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1
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Pricing American Put Options via Binomial Tree in Matlab
I currently am completing a Computational Finance Assignment, and am trying to figure out how to alter this Matlab code which prices a European put or call option, in order to price an American Put ...
