l*******3
发帖数: 186 | 1 foreign currency market, an option can be used as a put or call option.
why is it never optimal to early exercise the call when it is equivalent to
a put, which can be optimally early exercised? Thanks |
C***m
发帖数: 120 | 2 If the underlying pays no dividend, the call option on this underlying is
never optimal to early exercise.
Foreign currency call option takes currency as underlying, while people earn
interest from currency. It is like currency paying dividend, so it may not
satisfy the no dividend assumption.
to
【在 l*******3 的大作中提到】
: foreign currency market, an option can be used as a put or call option.
: why is it never optimal to early exercise the call when it is equivalent to
: a put, which can be optimally early exercised? Thanks
|
l*******3
发帖数: 186 | 3 谢谢。是不是我没读懂题目啊。我以为他问这个情况下为什么不应该early exercise。
你也是认为这种undelrying pays dividend的情况下，是可能early exercise的，对吧？
earn
not
【在 C***m 的大作中提到】
: If the underlying pays no dividend, the call option on this underlying is
: never optimal to early exercise.
: Foreign currency call option takes currency as underlying, while people earn
: interest from currency. It is like currency paying dividend, so it may not
: satisfy the no dividend assumption.
:
: to
|
C***m
发帖数: 120 | 4 我觉得是可能early exercise的。红书2.10解释了一下，和这里说的差不多。
吧？
【在 l*******3 的大作中提到】
: 谢谢。是不是我没读懂题目啊。我以为他问这个情况下为什么不应该early exercise。
: 你也是认为这种undelrying pays dividend的情况下，是可能early exercise的，对吧？
:
: earn
: not
|
l*******3
发帖数: 186 | 5 xiexie!
【在 C***m 的大作中提到】
: 我觉得是可能early exercise的。红书2.10解释了一下，和这里说的差不多。
:
: 吧？
|
r**a
发帖数: 536 | 6 Yes, it should be early exercised. See book "interest rate modeling" Vol1,
Sec.1.10 by Andersen and Piterbarg. Do not ask me the details. I am still
reading.
吧？
【在 l*******3 的大作中提到】
: 谢谢。是不是我没读懂题目啊。我以为他问这个情况下为什么不应该early exercise。
: 你也是认为这种undelrying pays dividend的情况下，是可能early exercise的，对吧？
:
: earn
: not
|
k*****n
发帖数: 117 | 7 FX contracts pays dividend - the interest difference between the the call
currency and put currency |
