◾ Pricing Put Options Using Put Call Parity

2014 ◽  
pp. 308-311
Keyword(s):  
Put Options

Put Options in General Equilibrium

2008 ◽  
Author(s):  
Hedibert F. Lopes ◽  
Satadru Hore ◽  
Robert E. McCulloch
Keyword(s):  
General Equilibrium ◽  
Put Options

Real-Estate Derivative Instruments

2017 ◽  
Author(s):  
Radu S. Tunaru
Keyword(s):  
Real Estate ◽  
Put Options ◽  
Derivative Instruments ◽  
Market Practices ◽  
Total Return Swaps

This chapter is dedicated to the innovation of real-estate derivatives, with a focus on vanilla products such as forwards/futures, total return swaps, and European call and put options. A description is given of the mechanics behind these instruments and their range of applications. The examples provided here highlight changes in market quotation agreements and standard market practices related to valuation of vanilla real-estate derivatives such as forwards, futures, and total return swaps. In addition, MacroShares, PICs, PIFs, and PINs are discussed.

scholarly journals Pricing Perpetual American Put Options with Asset-Dependent Discounting

2021 ◽  
Vol 14 (3) ◽  
pp. 130
Author(s):  
Jonas Al-Hadad ◽  
Zbigniew Palmowski
Keyword(s):  
Value Function ◽  
Asset Price ◽  
Stopping Times ◽  
Martingale Measure ◽  
Put Options ◽  
American Put Options ◽  
Exact Calculations ◽  
Negative Exponential ◽  
American Put ◽  
The Value Function

The main objective of this paper is to present an algorithm of pricing perpetual American put options with asset-dependent discounting. The value function of such an instrument can be described as VAPutω(s)=supτ∈TEs[e−∫0τω(Sw)dw(K−Sτ)+], where T is a family of stopping times, ω is a discount function and E is an expectation taken with respect to a martingale measure. Moreover, we assume that the asset price process St is a geometric Lévy process with negative exponential jumps, i.e., St=seζt+σBt−∑i=1NtYi. The asset-dependent discounting is reflected in the ω function, so this approach is a generalisation of the classic case when ω is constant. It turns out that under certain conditions on the ω function, the value function VAPutω(s) is convex and can be represented in a closed form. We provide an option pricing algorithm in this scenario and we present exact calculations for the particular choices of ω such that VAPutω(s) takes a simplified form.

An Early-Exercise-Probability Perspective of American Put Options in the Low-Interest-Rate Era

2014 ◽  
Vol 35 (12) ◽  
pp. 1154-1172 ◽  
Author(s):  
Daniel Wei-Chung Miao ◽  
Yung-Hsin Lee ◽  
Wan-Ling Chao
Keyword(s):  
Interest Rate ◽  
Put Options ◽  
Early Exercise ◽  
American Put Options ◽  
American Put
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