0
votes
0answers
97 views

Black-Scholes model and options evaluation

may someone explain me how to use a Black-Scholes model in order to identify if a defined option is a valuable investment? Thank you in advance.
1
vote
1answer
346 views

Deriving the put-call parity

I am looking at the proof of the put-call parity, $P+S=C+Ee^{-rT}$ The proof begins by defining two portfolios with same strike price $E$ and time to expiry $T$: 1. A call $C(E,T)$ plus cash ...
4
votes
1answer
539 views

Option Theta: What conditions are needed for Theta > P/N, where P = option price, and N = days to expiration?

The wikipedia definition for Theta is: And people frequently refer to the picture below, to show what typically happens with an option's value as a function of time; we can note this is ...