Questions tagged [put]

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Source of Specific Formula for Valuation of Asian Put Option

I am attempting to find the source of a specific formula for estimating the price of an average-price asian put option. We use this as an indicator for determining an illiquidity discount, and the ...
1 vote
158 views

Pricing Options on Bloomberg

If I would like to buy 14 put options contracts. What number of shares to input?
• 13
161 views

Expected date of exercise - American put

I am interested in an analytic or computational estimate of the expected date of exercise of an American put. Are there research papers (or discussions on this site) estimating the expected date upon ...
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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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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 ...
2k views

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 ...
• 103
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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
265 views

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 ...
1 vote
112 views

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,...
• 123
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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 ...
130 views

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 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): ...
• 153
156 views

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?
1 vote
216 views

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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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 ...
50 views

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
1 vote
152 views

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 ...
1 vote
81 views

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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1 vote