Questions tagged [put]
The put tag has no usage guidance.
55
questions
2
votes
1answer
201 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
49 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
743 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 ...
