Questions tagged [put]

Question 1

I have a couple of question about LSPI and AMC. I'm reading Foundations of Reinforcement Learning with Applications in Finance by Ashwin Rao, Tikhon Jelvis. And they use these basis functions in LSPI ...

Question 2

To estimate the valuation discounts in private companies, I have come across "put options", which puzzled me and as I read the cited literature, I have come to my conclusion that put options ...

Question 3

Theoretically callable/puttable bond can have call option and put option on the very same date. Usually they have the same strike and that strike is 100, but let's say the C/P bond has put at 150 and ...

Question 4

Hi all, I am new to options pricing so just wanted to confirm the below - If I would like to buy 14,020 contracts of the below and each contract contains 100,000 shares. According to OMON, the CSize ...

Question 5

I am interested in an analytic or computational estimate of the expected date of exercise of an American put. Are there research papers (or discussions on this site) estimating the expected date upon ...

Question 6

Is there a way to trade IV skew between two maturities? For example, bull put in near maturity and bear put in far maturity.

Question 7

I am trying to implement a Bisection method for implied volatility calculation. I use an algorithm from Haug (page 455). ...

Question 8

Is there an analytical formula to approximate the discounted exposure for a European Put on a Stock in the Real-World measure? This is just an initial phase to be able to assess the accuracy of using ...

Question 9

In this derivation of Black's formula for puts, we have that $\mathbb{E}[e^X 1_{e^X \leq K/S_0}]$ somehow equals $S_0 e^{\mu + 0.5 \sigma^2} N$ (as above in the formula). I tried breaking apart the ...

Question 10

Let $X$ be any random variable with any distribution. Given that we know $\mathbb{E}[X]$, $\mathbb{E}[\max(0,X)]$, and $\mathbb{E}[\min(0,X)]$, can you write a formula for $\mathbb{E}[f(X)]$ where $f$ ...

Question 11

I did a Monte Carlo simulation to evaluate my portfolio. I used different Strikes and Weights for the Put options. Now to my problem: All statistical measures (like expected return, volatility) ...

Question 12

I was looking at Robinhood and can't find a rational reason for a put price for the $\\\$117$ strike to be higher than both the $\\\$116$ and the $\\\$119$ strike.

Question 13

Assume the Heston Model with dynamics under the martingale measure $Q$ given by \begin{align} dS_t &= (r-q)S_t dt + \sqrt{v_t}S_tdW_{1,t}^Q\\ dv_t &= \kappa(\theta-v_t)dt + \sigma\sqrt{v_t}dW_{...

Question 14

I bought put options on RSX expiring March 11 2022. I want to sell them for cash and profit! I don't want RSX shares! 6 hours ago, my brokerage emailed me that I cannot sell or exercise my puts. What ...

Question 15

I have found a proof that an American put option without dividend will never be exercised early. However, I suspect that that is not true, so there should be a mistake in the proof. The proof is as ...

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Questions tagged [put]

Parallel between LSPI and American Monte Carlo for American Put Options pricing

Put options used in private company valuation discounts

Bond with embedded call and put on the same date

Pricing Treasury Futures Options on Bloomberg OVME screen

Expected date of exercise - American put

Trading term structure of skew

Bisection method for implied volatility not working for European Put Options

Analytical formula for discounted exposure of a European Put on a stock in Real-World measure

Black's formula derivation: expectation of a indicator times a random variable

Given $\mathbb{E}[X]$, $\mathbb{E}[\max(0,X)]$, and $\mathbb{E}[\min(0,X)]$, what is $\mathbb{E}[f(X)]$

Portfolio with Put Options - VaR, Std. Dev

Short put prices different strikes

Pricing a put-option in the Heston Model

If RSX is still halted on expiration, what shall happen to my puts on RSX?

Early exercising American put options

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