Questions tagged [put-call-parity]

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1answer
142 views

How far the spot price is likely to go from the current level in three months if its volatility is 15.7%

On Page 24 of N. Taleb's "Dynamic Hedging" the author gives the following example Example: Assume that an asset trades at \$100, with interest rates at 6% (annualized) and volatility at 15.7%. ...
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4answers
11k views

Early execise of American Call on Non-Dividend paying stock.

Let us consider an American call option with strike price K and the time to maturity be T. Assume that the underlying stock does not pay any dividend. Let the price of this call option is C$^a$ today ...
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6answers
8k views

Call vs. Put Option

I have two interrelated questions that have been bothering me for some time. I have read all the stuff online and it still doesn't make sense to me: Let us assume: 0% interest rate (both hedge ...
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6answers
2k views

Setting the r in put-call parity?

Put-call parity is given by $C + Ke^{-r(T-t)} = P + S$. The variables $C$, $P$ and $S$ are directly observable in the market place. $T-t$ follows by the contract specification. The variable $r$ is ...
2
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1answer
111 views

Should Put/Call Parity result in Zero Return or the Risk-Free Rate?

Sorry in advance if this is a basic question. I'm examining some potential at-the-money put/call arbitrage. What I found surprised me somewhat: ...
2
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0answers
65 views

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 ...
2
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3answers
485 views

Put Call Symmetry

I want to show the Put Call Symmetry without using the explicite Black Scholes formula. In other words I want to show Call(t, x, K, T) = Pull(t, K, x, T) where $S_t = x $ for $t \in [0, T]$. I ...
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2answers
742 views

What changes to put-call parity are necessary when evaluating american options on non-dividend paying assets?

If an underlying doesn't pay dividends (for our purpose defined as any distribution to the underlying's holder) directly or indirectly (e.g. options on futures) how does put-call parity change from ...