Research: new option type "Chameleon option" :-)

The state of the Chamelon is not decided yet, it takes tiiiime....

 

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...

 

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;

In BSM the z1 and z2 are called d1 and d2, respectively.

 

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?

 

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.

 

at this point i'm convinced thecoder is a dest alt account. no one can be this arrogantly retarded.

 

In reality one of course can choose different K for each leg of Call and Put.
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...

 

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...