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An Explicit Solution for the Price of Index Options

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Author Info
Chilarescu, Constantin

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Abstract

In this paper we try to improve the method presented by Brooks in a paper published in 1994 and to provide a uncomplicated explicit solution for the price of index options of a large number of stocks.

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File URL: http://mpra.ub.uni-muenchen.de/13286/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 13286.

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Date of creation: Jun 2007
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Handle: RePEc:pra:mprapa:13286

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Related research
Keywords: index options; Black-Scholes; Green function;

Find related papers by JEL classification:
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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  1. Deelstra, G. & Liinev, J. & Vanmaele, M., 2004. "Pricing of arithmetic basket options by conditioning," Insurance: Mathematics and Economics, Elsevier, vol. 34(1), pages 55-77, February. [Downloadable!] (restricted)
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This page was last updated on 2009-12-17.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.