Questions tagged [put-call-parity]

The tag has no usage guidance.

15 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
5
votes
0answers
211 views

Implied Funding/Borrow Costs in Short-Dated ETF Option Prices

I'm struggling with some anomalous behavior in an analysis I'm running and was hoping for some advice/insights. I'm attempting to extract the implied funding/borrow costs from ETF option prices (say ...
3
votes
0answers
232 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 ...
3
votes
0answers
545 views

Understanding put-call parity

I'm a person with math background trying to break into quantitative finance, and there's something about put-call parity that is not making sense to me. Below I'll detail my understanding of the ...
2
votes
1answer
72 views

Intuitive explanation of put option pricing based on put-call parity

Assuming no dividends, the put-call parity equation says: $c + \mathrm{Ke}^\mathrm{-rT} = p + S$ where $c$ is the price of the European call, $p$ is the price of the European put, $S$ is the current ...
1
vote
0answers
43 views

Put-call parity under a regime-switching model

I need some help. I'm given $J$ different regimes, each one characterized by its own parameters $(r_i, \delta_i,\sigma_i,...)$ with $i\in \mathcal{J}= \{1,2,...,J\}$ ($r$ = risk-free interest rate, $...
1
vote
0answers
35 views

What is the effect of put call open Interest on price action

how option put call open Interest affects price actions as put sellers feel price when price goes down or call sellers feel pain when price goes up and how this affects price action. ie when price ...
1
vote
0answers
67 views

Is it necessary for $P(K, t) - P(K + s, t) \geq se^{-rt}$ to hold?

Let $P(K, t)$ be a put option with strike price $K$ and expiration time $t$. Let $s > 0$. Is it necessarily true that the inequality $$P(K, t) - P(K + s, t) \geq se^{-rt}$$ holds? I know that ...
1
vote
0answers
335 views

Convexity of Call option prices using Put-Call parity relationship

I am trying to price vanilla options using a particular Bayesian approach that I have found in a paper. To do that I need to construct a likelihood function, approximating the tail of the distribution ...
0
votes
0answers
30 views

Why is the correlation that Futures Options have with interest rates opposite to that of the one Stock Options have?

The Put-Call Parity relationship for Stock Options is the following: Call Price - Put Price = Stock Price - Exercise Price + Carrying Costs - Dividends But for Options on Futures where the Options ...
0
votes
0answers
35 views

The wider bid-ask spread of in-the-forward American option

Why is the bid-ask spread of a in-the-forward/money American call (put) much larger than the out-of-the-forward/money American put (call)? I suppose the answer to the same corresponding question ...
0
votes
0answers
31 views

Black-Scholes pricing of european call option

I am really confused on the usage of the greeks and the Black-Scholes model for option pricing. To gain some more understanding I am attempting to see if I can price a european call option under the ...
0
votes
0answers
17 views

Insured Portfolio via call + cash: how much cash?

I am unsure about the quantities to keep in the risky asset, S, and the non-risky asset, M, when constructing an insured portfolio via Call + Cash (rather than Stock + Put). My understanding so far is ...
0
votes
0answers
43 views

Put-call parity for equity share and debt share

Considering Merton's structural approach" for credit risk modeling, we arrive to prove that the pricing formules are $S_t=V_t\phi(d_{T,1})-Fe^{-r(T-t)}\phi(d_{T,2})$ for equity share and $F_t=FP_0(t,T)...
0
votes
0answers
70 views

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 ...
0
votes
0answers
31 views

Best strategy for generating floats with minimum amount of risk

I'm looking for a way to get cash-in-hand in exchange for future obligation. For example, I can sell deep-in-the-money puts and buy out-of-the-money puts (for hedge) with expiration of 2 years, The ...