Questions tagged [put-call-parity]

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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
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191 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 ...
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512 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 ...
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33 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
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64 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
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323 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 ...
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16 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 ...
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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)...
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66 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 ...
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30 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 ...