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Quant版 - is it possible to imply forward prices from american option prices?
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话题: forward话题: prices话题: american话题: imply话题: option
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1 (共1页)
l********a
发帖数: 126
1
say we know prices for all the listed american options expired at some date, can we
imply the forward price of this underlyer on that date?
w*********m
发帖数: 196
2
Option is all about volatility, and your underlying is still geometric
brownian motion, so the price distribution might change but the expectation
is the same.
But if you see a lot more put than call in the market, you know option
trader's mind about the market, so you may want to be at the same side with
them.
l********a
发帖数: 126
3
Option is of course not all about vol.
Implying forward from European options is possible because a put-call pair (
with the same strike) can replicate a forward. So in that case forward is
easily implied by option prices.
I was wondering if there is a similar thing for American options.
But it seems like the answer is NO.
The best thing you can do with American options in this regard is to make
something like "Amrican Forward", i.e. the contract to buy the underlyer at
the strike at ANY time before the expiration. This "American Forward" is
obviously more valuable than the normal forward. So there seems to be no to
imply forward price from American options prices.

expectation
with

【在 w*********m 的大作中提到】
: Option is all about volatility, and your underlying is still geometric
: brownian motion, so the price distribution might change but the expectation
: is the same.
: But if you see a lot more put than call in the market, you know option
: trader's mind about the market, so you may want to be at the same side with
: them.

s******e
发帖数: 1751
4
No, there is skew.

expectation
with

【在 w*********m 的大作中提到】
: Option is all about volatility, and your underlying is still geometric
: brownian motion, so the price distribution might change but the expectation
: is the same.
: But if you see a lot more put than call in the market, you know option
: trader's mind about the market, so you may want to be at the same side with
: them.

1 (共1页)
进入Quant版参与讨论
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相关话题的讨论汇总
话题: forward话题: prices话题: american话题: imply话题: option