Put-call parities and the value of early exercise for put options on a performance index
نویسندگان
چکیده
منابع مشابه
A Call-Put Duality for Perpetual American Options
It is well known [5], [1] that in models with time-homogeneous local volatility functions and constant interest and dividend rates, the European Put prices are transformed into European Call prices by the simultaneous exchanges of the interest and dividend rates and of the strike and spot price of the underlying. This paper investigates such a Call Put duality for perpetual American options. It...
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Along with the well-known “call-put parity” relation, that makes it possible to express the rational price of a put option in terms of the rational price of a call option, we introduce a “call-put duality” relation. This new concept offers a simple explanation of the relationship between the rational price of a put option and a call option, not only for options of the European type, but also fo...
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In this chapter we describe the pricing of Bermudan options by means of Fourier cosine expansions. We propose a technique to price early-exercise call options with the help of the (European) put-call parity and put–call duality relations. Direct pricing of call options with cosine expansions may give rise to some sensitivity regarding the choice of the size of the domain in which the Fourier ex...
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We revisit the American put and call option valuation problems. We derive analytical formulas for the option prices and approximate ordinary differential equations for the optimal exercise boundaries. Numerical simulations yield accurate option prices and comparable computational speeds when benchmarked against the binomial method for calculating option prices. Our approach is based on the Mell...
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A natural approach to reducing the risk of a position in stock, is by buying put options on the underlying. We consider a model where the Value at Risk is taken as measure of risk, in the framework of the BlackScholes model. We show a method for the choice of the optimal strike price of the options, and provide an analytic formula for the optimal Value at Risk, for arbitrary hedging expenditure...
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ژورنال
عنوان ژورنال: Journal of Futures Markets
سال: 1996
ISSN: 0270-7314,1096-9934
DOI: 10.1002/(sici)1096-9934(199602)16:1<71::aid-fut4>3.0.co;2-e