Recent content by Eliterondrouge

Other option pricing models take into account div, trend... You need to do some research

Sorry....

Did you ever check out how Sosnoff did the derivation quoted in the first article ? Could be worth to get an accurate point of view on who is a real trader with millions made on the markets and who is a ... tastytrader https://en.wikipedia.org/wiki/Mark_Spitznagel...

Got it. My point was that call put parity hold for european style options. American style is something different. JackRab pointed out the fact that delta of a long call/short put may have a value beyond 100%, it's a reality and everyone can price it, knowing that interest rates are low nowadays...

Free lunch .... run faster than the chef.... restaurant.... just kidding.

I wouldn't be that sure about the same delta and the same theta for a call and a put with the same strike

I wouldn't be that sure about the same delta and the same theta for a call and a put with the same strike

Sure, ... it's doable in every restaurant with a large door that is not too crowded... Cool down, I was kidding.

Of course it exists,.... but you need to run faster than the chef...

Since m = rate .... ;-)

It's a possibility you can't move away...

2 different strikes => call/put parity => 2 equations with 2 unknowns. Feel free to ask for the details. In practice, you would do the same for every strike with a tight bid/ask spread you could find to get an accurate number. Really nothing new here.

No Martin, it doesn't. By simply using call/put parity you'll be able to find both rates. It has been used for decades, nothing new here !

I think a better way is to get implied riskfree rate and dividend rate from option prices. That way you'll be sure to get the same implied volatility as it has been priced by the market.

For wheat market, it may be seasonality and the level of 400 as a target. Implied volatilities stay low as there is no interest for hedging purpose.