Tuesday, May 14, 2019

What changes to put-call parity are necessary when evaluating american options on non-dividend paying assets?


If an underlying doesn't pay dividends (for our purpose defined as any distribution to the underlying's holder) directly or indirectly (e.g. options on futures) how does put-call parity change from the usual assumption of a European option?


In particular, I'm thinking of bond options like the 10-year Treasury Note. Clearly options like these are worth more but how much more and what factors are required to evaluate put-call parity?





No comments:

Post a Comment

technique - How credible is wikipedia?

I understand that this question relates more to wikipedia than it does writing but... If I was going to use wikipedia for a source for a res...