The inside and outside strangle share equivalent rho valu and sensitivity at = vola.
Infinite? You are using covered writes as an example of arbitrage boundary?! Yes, you need to re-think. I think it will be for long time.
A raw pricing algorithm would entail pricing a 100-year American call from BSM. Or solve for delta using BSM of blended duration and multiply by...
Riskfreetrading, you are attempting to price a Russian vanilla put, but you are terribly wrong in your attempt. You say you have priced these...
Most perpetual option are priced over the counter using BSM with 100-year duration. There are other closed form solutions, but most are avoided...
Please don't get so upset. Wrong answer, as we must assume static-equivalence, but nice try. Obviously, nobody would sell the put to allow for...
I'll take your silence as proof that you can't answer my question: When is it better to write a CC over a seemingly equivalent short put?
Riskfreetrading, would you mind taking a moment to answer this question?
You're intent on repeating this in all of your reply. You don't realize that option arbitrage has rate-risk (rho). If you think otherwise you're...
Sony UX390 with 32GB SSD: http://www.clearanceclub.com/products/6769-UX390?ad_ref=x18froogle
Another good tool: http://fxlabs.oanda.com/cgi/fxlabs.pl?id=21
Sony UX280P or the flipstart is a good choice: www.flipstart.com
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