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Calculate put option value


The Supply and Demand of S&P 500 PutOptions

We use the point estimates of the parameters to calculate the model-implied option prices at different values of the state variable Vt , calculate the VIX-implied volatility, and ...The paper focuses on OTM putoptions that derive the...

Stars: 61 Updated: March 23rd,2018

Valuing American putOptions using Chebyshev Polynomial Approximation

In this case, the ordinary differential equation has a known solution and one can use it to calculate the approximation error. We use three different basis functions (i.e. Chebyshev...20 Figure 4 Putoptionvalue using dynamic program...

Stars: 88 Updated: March 23rd,2018

Put-call parities and the value of early exercise for putoptions on a performance index

In this paper we use the put-call parity to calculate the premium for early exercise of putoptions on the DAX index. Because this is a performance inde...

Stars: 113 Updated: March 23rd,2018

Why Are PutOptions So Expensive?

It will be convenient to scale option prices by the value of the underlying. Let p(k) := P (K)/vt and c(k) := C(K)/vt denote the normalized put and call. In the absence of arbitrage opportunities, there exists a pricing kernel m > 0 s...

Stars: 42 Updated: March 23rd,2018


The computational time is virtually the same for any τ value. The only exceptional case is when τ = 0, where the integral requires a little longer time to calculate as discussed...The fact that an American putoption price can be wr...

Stars: 124 Updated: March 23rd,2018

The Pricing Model of Bank Credit Risk Based on the PutOption

The discount rate coming from putoption formulas includes credit risk Premium, so the discount rate reflects credit risk. Secondly, using the putoption to calculate market value of the loan could be able to reflect the future credit...

Stars: 78 Updated: March 23rd,2018

Test of the Put-Call Parity Relation Using Options on Futures on the S&P 500 Index

In this regard, and depending on the liquidity of the options and underlying assets that are used in the empirical study, a suitable form of sampling ought to be selected so that ...Additionally, Brown and Easton found some computatio...

Stars: 112 Updated: March 23rd,2018

Extending Quadrature Methods to Value Multi-asset and Complex Path Dependent Options

For every specific value of A, say Aj, the values used at Tm to calculate the optionvalue at Tm−1 will have the same value of A unless at Tm, S > Aj. Use the values...(t = TM ), 0) can be valued at the time step before expiry as 1/(...

Stars: 109 Updated: March 23rd,2018

Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model

Let S0 be the initial value of the S&P 500 index and consider a putoption on this index with strike price K and maturity τ . We then calibrate to the discounted expected ...Next, we use this tree to calculate the implied volatility ...

Stars: 121 Updated: March 23rd,2018

Optionvalue indicator

A method for computing a value factor of at-least-one option contract having a market, an expiration date, a price of an underlying contract on a current date, and a strike price. The method includes calculating a theoretical return b...

Stars: 27 Updated: March 23rd,2018

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