Research: new option type "Chameleon option" :-)
- Thread starter thecoder
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Ok— I did not know you such an expert option’s math.. perhaps you can help me then with a proof of the so-called put-call parity (in The general case)... I am struggling with it for quite some time now...@Stamamarti, be assured that I'm maybe the best options mathematician of our time. I'm passionate about options and I've become the top expert in this field, otherwise there would already be someone else who proves BSM wrong, like I recently did. I mean, I proved BSM wrong, and also found a replacement for it (dubbed FPM), as well created at least two new option types: FairPUT based on Call premium and FairPut based on PUT premium.
I'm the wordwide leading expert in options and you have to accept this fact, that simple
And @Stamamarti, Chameleon has nothing to do with FairPut, they are different things. Just FYI
That's simple, man: just look at Wikipedia. Very well explained there
https://en.wikipedia.org/wiki/Put–call_parity
I couldn't write it any better myself, man
And here the Put/Call parity in action (excerpt from my BSM codebase):
Code:
...
C = S * exp_mqt * p1 - K * exp_mrt * p2;
P = C + K * exp_mrt - S * exp_mqt;I've got even an alternative for the above P part (ie. Put):
Code:
P = normal_cdf(-z2) * K * exp_mrt - normal_cdf(-z1) * S * exp_mqt;
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I am glad you pointed this for me... now can you tell/show me (or just prove) if your new option construct (fairput etc..) preserves or satisfies the put-call parity?That's simple, man: just look at Wikipedia. Very well explained there
https://en.wikipedia.org/wiki/Put–call_parity
I couldn't write it any better myself. man
And here the Put/Call parity in action (excerpt from my codebase):
Code:... C = S * exp_mqt * p1 - K * exp_mrt * p2; P = C + K * exp_mrt - S * exp_mqt;
Yes, I can assure you that FPM of course 100% satisfies the Put/Call parity.
(But in my above referenced journal an old/buggy version is posted, which does not).
FairPut is a different thing from FPM and BSM. It affects just the payoff (it makes it the same like the payoff of the mirror image of Call).
I'll soon (in a few weeks) put the algorithm online, ie. make an online options calculator for both BSM and FPM side-by-side.
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In reality one of course can choose different K for each leg of Call and Put.The state of the Chamelon is not decided yet, it takes tiiiime....
But I need to do more research for the S != K cases...
But in this limited test scenario I'm using for both Call and Put just the same K.
Then, it indeed gives a different premium than the sum of Call and Put premium.
Need to test this further...
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You are off-topic... And I doubt I've anything in common with this arrogant dest idiot
You are off-topic... And I doubt I've anything in common with this arrogant dest idiot
it sounds like you're describing a lookback with a straddle payoff. as with the fairput/faircall, this instrument already exists as an exotic and isn't traded widely for a reason. i can appreciate your curiosity but would advise you look into other exotics (barriers, knock in/outs, etc) and understand both the implications of the payouts and WHY they're largely traded OTC before you waste more of your brainpower re-inventing the wheel with a different name.
Nope, as already said, it has nothing to do with loopback options.
I'm just doing it my way, my way...