Questions tagged [put]
The put tag has no usage guidance.
57
questions
2
votes
1answer
342 views
How to hedge a put under the Black-Scholes model?
To hedge a call, one would invest the option price proceeds into $\Delta_t*S_t + B_t = c_t$. (ok)
However, a put has negative delta, so I would short $\Delta_t*S_t$ and invest $p_t+\Delta_t*S_t>...
3
votes
4answers
276 views
How to short an option?
It appears to me that retail investors can only buy calls and puts, but not short them through any standardized way (except maybe borrowing the option from a friend ;) ).
Is that correct, or how can ...
2
votes
1answer
208 views
The role of Gamma in replicating a put
I am analyzing portfolio protection by replication of a put.
Having my portfolio with value $V$ I could buy put giving me the payoff $P$ resulting in a call like pay-off scenario $C=V+P$.
Say, I don'...
1
vote
1answer
53 views
What is the strike of a short put that mimics a covered call
If I am long a stock $X$ which I purchased at $\$100$ and sold a covered call in the front month with strike $\$105$ for $\$2$ then is it true that the covered call is equivalent to a naked put at ...
0
votes
2answers
55 views
American put on a foreign currency
I know that For an American-style put option, early exercise is a optimal for deep in-the-money options. In this case, it may make sense to exercise the option early in order to obtain the profit ...
2
votes
1answer
125 views
How do I prove that $\lim_{K\searrow0}\frac{P(K,T)}{K} = \mathbb P(S_T=0)$?
I am trying to prove that
$$\lim_{K\searrow0}\frac{P(K,T)}{K} = \mathbb P(S_T=0)$$
where $P(K,T)$ denotes the put option price with maturity $T$ and strike $K$ for some stock $S$. Assuming interest ...
7
votes
1answer
752 views
Why is the Put-Call Symmetry model dependent?
The put-call symmetry states that C(S,t;X,r,q) = P(X,t;S,q,r), and that this works for American options. According to my notes, this is 'model dependent' because it ...
