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Results tagged with options
Search options not deleted
user 2257
A contract that gives the owner the right, but not the obligation, to buy or sell a security at a fixed price in the future.
10
votes
2
answers
9k
views
When to use Monte Carlo simulation over analytical methods for options pricing?
I've been using Monte Carlo simulation (MC) for pricing vanilla options with non-lognormal underlyings returns. … Computational costs aside, when to use MC simulation over analytical methods for options pricing? …
- 1,210
8
votes
1
answer
2k
views
Implied volatility and greeks for american option with discrete dividends
What methods are available to calculate IV and greeks for an american option with discrete dividends, and how do they compare?
Should I use Roll-Geske-Whaley and solve for a given option price?
- 1,210
2
votes
1
answer
1k
views
Aprox intraday implied volatility using intraday option prices and EOD greeks
I have two options datasets:
EOD IV and Greeks
Tick option and underlying prices
I'm looking to calculate IV for each tick. …
- 1,210
11
votes
4
answers
4k
views
Why the interest rate for put-call parity is not constant?
I tried this with the SPX options with expiration Dec 2013.
I expected to get a constant $e^{-rt}$, but I got a decreasing $e^{-rt}$ instead. Why is this? …
- 1,210
7
votes
4
answers
11k
views
How to calculate the implied volatility using the binomial options pricing model
I want to calculate IV for american options with dividends. So far I have found algorithms to calculate the option price given a volatility. …
- 1,210