Questions tagged [put]
The put tag has no usage guidance.
17
questions with no upvoted or accepted answers
7
votes
3answers
343 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
102 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
64 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 ...
3
votes
0answers
349 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
161 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
63 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
84 views
Sell weekly covered calls repeatly
If underlying stock prices are random walk in short term, then it doesn't matter where the price go.
What we can definitely certain, is the high Theta in ATM options.
Can we repeatedly sell weekly put,...
1
vote
0answers
182 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
80 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
51 views
Solution of the following PDE using European put option
I'm reading some articles about PDE and I found the following PDE, with $q_1,A >0$:
$g_t(t,y)+ \beta^2yg_y(t,y)+\frac{1}{2}\beta^2y^2g_{yy}(t,y)-q_1 g(t,y)=0 \quad (t,y) \in [0,T), \times (0,+\...
0
votes
0answers
46 views
Price of european call option for different strike prices
Consider two european put options with strike prices $K, J$ with $K<J$ and maturity $T$.
Then the no arbitrage assumption implies $P_{K}(0)<P_J(0)$, where $P_K(0)$ denotes the price of the put ...
0
votes
0answers
47 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
25 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
36 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
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
82 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
59 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.
