The FairPut Initiative

[destriero]

At expiry the call will be worth 28.4025. What's that worth today? The discount factor is 1.284025, so the call is worth 28.4025/1.284025 = 22.1199.

Sometimes everyone else really is wrong, but in general if you find you disagree with the entire world, you might want to entertain the possibility that there's something you don't understand.

Dunning Kruger. These types like coder are so entertaining.

 

[destriero]

lol he's going to have to close this thread after 70 posts because he cannot operate a generic vol-pricer.

I thot Germans were smart?

fahrvergnügen

 

[elt894]

Dunning Kruger. These types like coder are so entertaining.

At least this one is harmless. Same thing going on with all the covid conspiracy threads being posted here.

 

[destriero]

I need the laugh. A relative came to visit and tested + on day three here in NV. We're on lockdown but I was already on the road (solo) to go bikecamping.

 

[xandman]

Updated / fixed version:

So, after the year the expected stock price will be (at least):
100 * exp(0 * 0.00001 * 1 + (0.25 - 0) * 1) = 128.4025
Ie. applying the formula: S * exp(z * s * sqrt(t) + (r - q) * t) by using z=0 for getting the expected spot, ie. the mean spot at expiration.

PS2: for those having difficulties understanding the "r as earnings": just think of it as the more commonly used term "risk-free rate"...

.

This valuation method is garbage. The concept of a spot price for stocks doesn't make sense. So, your use of z at 0 was to nullify the left hand term [z*s*sqrt(t)].

This leaves you with S*exp^[(r-q)t] which conveniently gives you a standard annuity growth formula and Future Value calculation in the form of A=Pe^rt. So, this is why your calculations seemed to be anchored to a possible stock value.

However, we know such a basic calculation is insufficient for stocks.

BTW, learn what the risk free rate is.

 

[elt894]

I need the laugh. A relative came to visit and tested + on day three here in NV. We're on lockdown but I was already on the road (solo) to go bikecamping.

Good excuse to extend the trip! A friend's parents came to Disney World from Russia, tested positive with pneumonia symptoms, but insist it was a false positive because none of the Russian families they're hanging out with have symptoms. They're pissed she won't fly down to Florida to join them.

 

[destriero]

Good excuse to extend the trip! A friend's parents came to Disney World from Russia, tested positive with pneumonia symptoms, but insist it was a false positive because none of the Russian families they're hanging out with have symptoms. They're pissed she won't fly down to Florida to join them.

Yeah, absurd. I am sitting her at a rest stop and the entire family is holed-up with my sis. I inadvertently escaped so I'll rent a converted Sprinter or whatever for a couple of weeks.

 

[ph1l]

would it be wise to publish my finding? Because it could lead to the collapse of all stock & option markets all around the world...

Hmm... I maybe should act responsibly and inform first Mr. Trump about the consequences of this hot stuff, and publish it only after the Nov 3 US elections. No?

Hey, with this sensitive hot information, I practically have the power to bring the world stock markets to a crash, at least to an halt for many weeks...
Should I now call myself "Goldfinger"?

I recall another poster who also had a discovery...

And only a Russian person is able to understand that his work cannot be published, if only this is done and the exchange will collapse, liquidity on all instruments will simply disappear

And only Western experts replicate their work in the thousands, because it is thanks to these works that you lose and lose your money!

And he mysteriously disappeared late last year. So be careful. You never know who is watching.

 

[xandman]

This guy is my first ignore on this forum. It's probably one or more kids hacking a BSM method using basic algebraic manipulation to create a solution for an ill-defined problem.

 

[thecoder]

At expiry the call will be worth 28.4025. What's that worth today? The discount factor is 1.284025, so the call is worth 28.4025/1.284025 = 22.1199.

@elt894, it seems you indeed have found a bug in my calculation.
I'll analyze it further and report back.