# 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 ...
64 views

### Model independent (or reasonable assumption) bounds on OTM put price given an ATM call price

I am looking for model independent (or weak/reasonable assumption) bounds on price of a OTM vanilla put on strike $k1$, conditional on an observable price for a ATM call at some strike $k2$. I ...
388 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 ...
721 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 ...
41 views

### How do borrow rates in single-stock options affect their prices

Would following approach be suitable: First calculate European option price (does it even make sense to do so, if we are talking about less than 30 dte?), take the diff between European and American ...
137 views

### How to Show an Arbitrage Opportunity Exist From a Market-Linked CD?

A bank issues a market-linked CD that guarantees the original principal with an interest at an effective annual rate of 2%, plus 70% of the percentage gain on the ABC Inc. non-dividend-paying stock ...
56 views

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, $... 0answers 42 views ### What is the effect of put call open Interest on price action how option put call open Interest affects price actions as put sellers feel price when price goes down or call sellers feel pain when price goes up and how this affects price action. ie when price ... 0answers 104 views ### Is it necessary for$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 ... 0answers 400 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 ... 0answers 134 views ### Forward Index Level in VIX calculation The VIX white paper (https://cdn.cboe.com/resources/vix/vixwhite.pdf) step #1 (page 6) says the the Forward Index Price is calculated as: F = Strike Price + e^RT x (Call Price - Put Price). Why doesn'... 0answers 107 views ### VIX options underlying: Can I safely use Put-Call parity instead of VIX futures Couple of basic questions: 1- I'd like to calculate the implied of VIX options intraday, without access to intraday VIX futures. In the absence of VIX futures as underlyings, what would be the ... 0answers 181 views ### calculating risk free interest rate from put call parity I'm trying to calculate the interest rate$r$from the put-call parity. As per hull, put-call parity is given by the below equation.$c + Ke^{-rT} = p + S_{0}$where:$c$= current call option price ... 0answers 43 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 ... 0answers 63 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 ... 0answers 18 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 ... 0answers 49 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)...
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 ...