منابع مشابه
Factor Models for Option Pricing
Options on stocks are priced using information on index options and viewing stocks in a factor model as indirectly holding index risk. The method is particularly suited to developing quotations on stock options when these markets are relatively illiquid and one has a liquid index options market to judge the index risk. The pricing strategy is illustrated on IBM and Sony options viewed as holdin...
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ژورنال
عنوان ژورنال: Review of Quantitative Finance and Accounting
سال: 1992
ISSN: 0924-865X,1573-7179
DOI: 10.1007/bf00243985