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The Valuation of Stock Index Option
by Menachem Brenner, Georges Courtadon and Marti Subrahmanyam

In this paper, the authors address three concerns in stock index valuation.
1. The irregular pattern of dividends on the index
2. The effect of interest rate volatility
3. The underlying asset, the index option, is not directly traded

stock_index_options.pdf (1.43 MB)

2017-8-14 00:09:07 上传

Stock index options

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关键词：Valuation Option Index Stock ATION

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martinnyj 发表于 2017-8-14 00:09
The Valuation of Stock Index Option
by Menachem Brenner, Georges Courtadon and Marti Subrahmanyam
...

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