The Pricing of Index Options When the Underlying Assets All Follow a Lognormal Diffusion

In this paper, we present an index option pricing equation that is theoretically superior to prior models. Specially, we develop an analytic index option pricing equation assuming each security underlying the index follows geometric Brownian motion. We compare our model to the standard index option pricing model based on the Black and Scholes formula and find the difference to be significant

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Year of publication:	[2001]
Authors:	Brooks, Robert
Other Persons:	Corson, Jon M. (contributor) ; Wales, Jimmy (contributor)
Publisher:	[2001]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: ADVANCES IN FUTURES AND OPTIONS RESEARCH, Volume 7, 1994 Volltext nicht verfügbar
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012788511