# Tag Info

### If American Options always have positive time value, how can it be optimal to exercise an American Put early?

“How is it ever optimal to throw away positive time value?” Answer: when the thing you are throwing away is less than what you are gaining through the early exercise . What is that ? Interest you ...
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### Comparison of the American and European call deltas

This is true, $\frac{\partial}{\partial S}C_\text A(S,0)\in [0,1]$ and that the difference is bound above. Proof: Suppose $S\ge 0$ follows a local volatility process dS(t) = \sigma(S(t),t)S(t)\,dB(t)...
• 2,591
1 vote

### Binomial Option pricing, paper by John C. Cox, I don't understand the calculation / choice of u.d.q

I found their estimate for q, it's equation (4.8) at page 8 here: On Cox-Ross-Rubinstein Pricing Formula for Pricing Compound Option http://www.etamaths.com/index.php/ijaa/article/view/2026 I read ...

### Does skew flatten with a decline in volatility?

The description by Bennett is not very clear, but the reference to the Figure 103 in the text at the end of the paragraph that you cite should resolve the issue. Bennett is saying that once the sudden ...
• 1,080
1 vote
Accepted

### How to calculate expected value for an underlying contract and expected value for an option?

In options trading, an option position refers to the ownership of an option contract or a combination of option contracts, whereas an underlying position refers to the ownership of the asset or ...
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