Questions tagged [put]
The put tag has no usage guidance.
15
questions with no upvoted or accepted answers
6
votes
3answers
292 views
American put option. Exercise time is a random variable, calculation of expected payoff
I got an American put option, where the payoff is $V_\tau = \max(K - X_{\tau}, 0)$ and $X_{\tau}$ is the price of an underlying at the stopping time $\tau < T$. The underlying follows a standard ...
4
votes
0answers
59 views
How can the solution to a optimal stopping problem be superharmonic?
A general result (Peskir and Shiryaev: Optimal Stopping and Free Boundary Problems, 2006, Thm. 2.4, Page 37) is that the solution to an optimal stopping problem $\sup_\tau EG(X_\tau)$ where $X$ is ...
4
votes
0answers
97 views
Feynman-Kac to derive stochastic representation
$u_t + \frac{1}{2}\sigma^2x^2u_{xx} - \alpha + \lambda((K_d - x)^+ - u) = 0$ with terminal condition $u(T, X) = (K_m - X(T))^+$
$dX = \sigma X(t)dW_t$
$\alpha$ and $\lambda$ are constants
Ok so ...
3
votes
0answers
287 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
votes
0answers
138 views
Kingdom of Denmark Nikkei put warrants
I have read in a book from Emanuel Derman that Goldman Sachs manufactured a derivative in the early 90's that consisted of buying cheap puts on th Nikkei index (and paid in Yen), combined them which a ...
2
votes
0answers
62 views
Enron - RhythmsNet hedge
I am reading "Power Failure: The Inside Story of The Collapse of Enron"
By Mimi Swartz, Sherron Watkins.
In the book, the following transaction is described:
Enron had USD200mn worth of futures on ...
1
vote
0answers
167 views
Perpetual American put option with zero interest rate
I want to find an optimal time when we should exercise perpetual American put option.
In other words I want to maximize the following equation:
$$
V(S) = \sup_{\tau \in \mathcal{\tau}}\mathbb{E}[e^{-...
1
vote
0answers
77 views
Cox-Ross-Rubinstein - getting volatility
i have exam coming on financial engineering, and need help asap with this thing.
Basically there's a European put option ex dividend. We know that the stock price is $S_t = 85$, the exercise price is $...
0
votes
0answers
37 views
What can we say about digital puts and calls with different strike prices?
I am a noob to the field of quantitative finance. I am reading this book by Mark S. Joshi. Can you help me make sense of one of the exercise questions? Here is the question (from page 40 of the book):
...
0
votes
0answers
23 views
Reproducing a short put position using known binomial option tree
Suppose a put option follows prices according the the binomial tree I've made and posted below and consider writing a put ($S$ is the stock value, $P$ is the put value, obviously). I want to find the ...
0
votes
0answers
34 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
0
votes
0answers
23 views
Static hedge for Down-and-out put option
I am trying to compute the static hedge for a down-and-out put option with the barrier above the strike using the put-call symmetry. I am okay with the example in the note with the call option but I ...
0
votes
0answers
19 views
Synthetically sell to close puts in limited-margin IRA
Suppose:
I bought an American put on a stock in a retail brokerage IRA, where I can't sell short or write uncovered options.
The put is ITM and has served its purpose for hedging.
The put is thinly ...
0
votes
0answers
76 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 ...
-2
votes
1answer
56 views
HEDGING WITH A PUT OPTION
In the following example, for 3rd question and 4th question why do we have to add (Stock price in three months - Current stock price) to put option profit?
Thank you in advance.
